Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
Derivatives pricing is approximated with a computationally efficient homotopy-based application that accounts for WWR
A variation of the rough volatility model is introduced by plugging in a different stochastic process
In this paper, the authors propose improvements to the approach of Ramírez-Espinoza and Ehrhardt (2013) for option-pricing PDEs formulated in the conservative form.
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
Henry-Labordere proposes a neural networks-based technique to price counterparty risk and initial margin
Pricing multidimensional financial derivatives with stochastic volatilities using the dimensional-adaptive combination technique
In this paper, the authors present a new and general approach to price derivatives based on the Black–Scholes partial differential equation (BS-PDE) in a multidimensional setting.
Quants develop model that fixes a longstanding problem with pricing American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Quants develop method to include both market impact and limit orders in optimal trade execution
A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
The authors introduce an RB space–time variational approach for parametric PPDEs with coefficient parameters and a variable initial condition.
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model
The paper concerns a hybrid pricing method build upon a combination of Monte Carlo and PDE approach for FX options under the four-factor Heston-CIR model.
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
This paper considers the numerical valuation of swing options in electricity markets based on a two-factor model.
Banks must be prepared for the looming rise of non-cleared margin requirements
Wujiang Lou extends liability-side pricing theory to initial margin
SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky closeout, option pricing with differential borrowing…