This paper proposes the use of neural stochastic differential equations as a means to learn approximately optimal control variates, reducing variance as trajectories of the SDEs are simulated.
The authors put forward a novel control variate method for time-changed Lévy models and demonstrate an efficient reduction of the variance of Monte Carlo in numerical experiments.
The authors design and solve an extended structural model that accommodates arbitrary Lévy dynamics for the underlying firm’s asset value, realistic debt payment schedules, multiple seniority classes and various intangible assets.
BofA quant’s model considers the correlation between market shocks and counterparty defaults
Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
In this paper the authors derive stability and convergence of fully discrete approximation schemes of solutions to linear parabolic evolution equations governed by time-dependent coercive operators.
This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function.
Ex-JP Morgan quant discusses his latest work and the risk failures that cost the bank $6bn in 2012
This paper studies the optimal extraction and taxation of nonrenewable natural resources.
Risk-neutral densities: advanced methods of estimating nonnormal options underlying asset prices and returns
This work expands the analysis in Cooper (1999) and Santos and Guerra (2014), and the performance of the nonstructural models in estimating the "true" RNDs was measured through a process that generates "true" RNDs that are closer to reality, due to the…
We present an approach for pricing European call options in the presence of proportional transaction costs, when the stock price follows a general exponential Lévy process.
In this paper, the authors study factor-based subordinated Lévy processes in their variance gamma (VG) and normal inverse Gaussian (NIG) specifications, and focus on their ability to price multivariate exotic derivatives.
This paper considers the problem of European option pricing in the presence of a proportional transaction cost when the price of the underlying follows a jump–diffusion process.
This paper extends and refines the method of option pricing by frame projection of risk-neutral densities to incorporate B-splines.
The authors provide a bound for the error committed when using a Fourier method to price European options, when the underlying follows an exponential Lévy dynamic.
In a simple model, Vivien Brunel establishes the properties of an operational risk model under the requirement of classification invariance
The authors develop a technique, based on numerical inversion, to compute the prices and Greeks of lookback options driven by Lévy processes.
To enable autocorrelation in the frequency distribution, this paper proposes a significant generalization of the LDA model that involves treating operational risk as a Lévy jump-diffusion.
This paper employs the fractional fast Fourier transform to calibrate parameters in an optimization setup.
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors