Concept
Heston model
Publications associées (24)
Exchange options with stochastic liquidity risk
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
PERGAMON-ELSEVIER SCIENCE LTD2023Illiquidity and Higher Cumulants
Semyon Malamud, Alberto Mokak Teguia
We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...
OXFORD UNIV PRESS INC2022Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing
Daniel Kressner, Francesco Statti, Kathrin Beatrice Glau
Treating high dimensionality is one of the main challenges in the development of computational methods for solving problems arising in finance, where tasks such as pricing, calibration, and risk assessment need to be performed accurately and in real-time. ...
2020Normal approximation of the solution to the stochastic heat equation with Levy noise
Given a sequence L & x2d9;epsilon of Levy noises, we derive necessary and sufficient conditions in terms of their variances sigma 2(epsilon) such that the solution to the stochastic heat equation with noise sigma(epsilon)-1L & x2d9;epsilon converges in law ...
SPRINGER2020Numerical methods for option pricing: polynomial approximation and high dimensionality
Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...
EPFL2019The Jacobi stochastic volatility model
Damir Filipovic, Damien Edouard Ackerer, Sergio Andres Pulido Nino
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log-returns admits a Gram–Cha ...
2018Polynomial models in finance
This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...
EPFL2017An overview of a new sensor calibration platform
Jan Skaloud, Stéphane Guerrier, Philipp Clausen
Inertial sensors are increasingly being employed in different types of applications. The reduced cost and the extremely small size makes them the number-one-choice in miniature embedded devices like phones, watches, and small unmanned aerial vehicles. The ...
2017An Overview of a New Sensor Calibration Platform
Jan Skaloud, Stéphane Guerrier, Philipp Clausen
Inertial sensors have been employed in different types of applications in miniature embedded devices such as phones, watches, and small unmanned aerial vehicles. The stochastic structure of the error signal coming from these sensors is complex and needs to ...
2017Quadratic variance swap models
Damir Filipovic, Loriano Mancini
We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...
Elsevier2016