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Convergence to closed-form distribution for the backward $SLE_{\kappa}$ at some random times and the phase transition at $\kappa=8$

Autor: Lyons, Terry J., Margarint, Vlad, Nejad, Sina

We study a one-dimensional SDE that we obtain by performing a random time change of the backward Loewner dynamics in $\mathbb{H}$. The stationary measure for this SDE has a closed-form expression. We show the convergence towards its stationary measur

Externí odkaz: http://arxiv.org/abs/1910.05519

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Numerical method for model-free pricing of exotic derivatives using rough path signatures

Autor: Lyons, Terry, Nejad, Sina, Arribas, Imanol Perez

We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a rich enough class of exotic and vanilla options. This is achieved by estimating an unobservable quantity called "implied expec

Externí odkaz: http://arxiv.org/abs/1905.01720

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Nonparametric pricing and hedging of exotic derivatives

Autor: Lyons, Terry, Nejad, Sina, Arribas, Imanol Perez

In the spirit of Arrow-Debreu, we introduce a family of financial derivatives that act as primitive securities in that exotic derivatives can be approximated by their linear combinations. We call these financial derivatives signature payoffs. We show

Externí odkaz: http://arxiv.org/abs/1905.00711

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