Technical paper/Stochastic process
Volatility shape-shifters: arbitrage-free shaping of implied volatility surfaces
Manipulating implied volatility surfaces using optimal transport theory has several applications
Currency risk in foreign currency accounts for small and medium-sized businesses
This paper estimates the currency exposure before and after the hedging of active foreign currency (FC) accounts, using stochastic models for spot exchange rates and cashflow movements.
ADOL: Markovian approximation of a rough lognormal model
A variation of the rough volatility model is introduced by plugging in a different stochastic process
Managing supply chain risk through take-or-pay gas contracts in the presence of buyers’ storage facilities
In this paper, the authors study the enhanced value of a take-or-pay gas contract from a buyer’s perspective in the presence of spot market trading and local storage capability.
Path-dependent American options
In this paper, the authors investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational inequality.
A pairwise local correlation model
In this paper, the authors develop a new local correlation model that uses a generic function 'g' to describe the correlation between all asset–asset pairs for a basket of underlyings.
The Garch linear SDE: explicit formulas and the pricing of a quanto CDS
A new closed-form approximation is applied to quanto CDS pricing
Equity market impact modeling: an empirical analysis for the Chinese market
This paper discusses and derives the extremum of the expectation of permanent impact and realized impact by constructing several special trading trajectories in the Chinese market.
Optimal management of green certificates in the Swedish–Norwegian market
This paper proposes and investigates a valuation model for the income of selling tradeable green certificates in the Swedish–Norwegian market, formulated as a singular stochastic control problem.
Modeling energy spreads with a generalized novel mean-reverting stochastic process
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist