Cover Image

Path-dependent PDEs for volatility derivatives

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Pannier, Alexandre
Format:	Preprint
Published:	2023
Subjects:	Probability Analysis of PDEs Mathematical Finance 60G22, 35K10, 91G20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Rough volatility, path-dependent PDEs and weak rates of convergence
by: Bonesini, Ofelia, et al.
Published: (2023)

Kolmogorov equations for stochastic Volterra processes with singular kernels
by: Gasteratos, Ioannis, et al.
Published: (2025)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)

Rough PDEs for local stochastic volatility models
by: Bank, Peter, et al.
Published: (2023)

Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing
by: Wang, Yingli, et al.
Published: (2025)

Rough differential equations for volatility
by: Bonesini, Ofelia, et al.
Published: (2024)

Random neural networks for rough volatility
by: Jacquier, Antoine, et al.
Published: (2023)

Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
by: Yang, Nicole Tianjiao, et al.
Published: (2024)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023)

Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
by: Al-Foraih, Mishari, et al.
Published: (2023)

Correct implied volatility shapes and reliable pricing in the rough Heston model
by: Boyarchenko, Svetlana, et al.
Published: (2024)

Primal and dual optimal stopping with signatures
by: Bayer, Christian, et al.
Published: (2023)

Efficient simulation of a new class of Volterra-type SDEs
by: Bonesini, Ofelia, et al.
Published: (2023)

Optimal hedging of a perpetual American put with a single trade
by: Cai, Cheng, et al.
Published: (2020)

Smile asymptotics for Bachelier implied volatility
by: Baviera, Roberto, et al.
Published: (2025)

A path-dependent PDE solver based on signature kernels
by: Pannier, Alexandre, et al.
Published: (2024)

Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)

Pricing American options under rough volatility using deep-signatures and signature-kernels
by: Bayer, Christian, et al.
Published: (2025)

The American put with finite-time maturity and stochastic interest rate
by: Cai, Cheng, et al.
Published: (2021)

From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)

Pricing VIX options under the Heston-Hawkes stochastic volatility model
by: Font, Oriol Zamora
Published: (2024)

A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations
by: Lei, Qian, et al.
Published: (2024)

Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
by: Alòs, Elisa, et al.
Published: (2025)

Arbitrage-Free Option Price Surfaces via Chebyshev Tensor Bases and a Hamiltonian Fog Post-Fit
by: Alvarez, Robert Jenkinson
Published: (2025)

Weak error approximation for rough and Gaussian mean-reverting stochastic volatility models
by: Alfonsi, Aurélien, et al.
Published: (2026)

Risk premium and rough volatility
by: Bonesini, Ofelia, et al.
Published: (2024)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
by: Xodarev, Akmal
Published: (2026)

A Càdlàg Rough Path Foundation for Robust Finance
by: Allan, Andrew L., et al.
Published: (2021)

Consumption-Investment Problem in Rank-Based Models
by: Itkin, David
Published: (2025)

Weak error estimates for rough volatility models
by: Friz, Peter K., et al.
Published: (2022)

Pricing and hedging for a sticky diffusion
by: Anagnostakis, Alexis
Published: (2023)

Exponential stock models driven by tempered stable processes
by: Küchler, Uwe, et al.
Published: (2019)

Option pricing in bilateral Gamma stock models
by: Küchler, Uwe, et al.
Published: (2019)

Bilateral Gamma distributions and processes in financial mathematics
by: Küchler, Uwe, et al.
Published: (2019)

Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility
by: Karmi, Sohaib El
Published: (2026)

Strassen's theorem for biased convex order
by: Acciaio, Beatrice, et al.
Published: (2025)

Gatheral double stochastic volatility model with Skorokhod reflection
by: Mishura, Yuliya, et al.
Published: (2025)

Geometric Martingale Benamou-Brenier transport and geometric Bass martingales
by: Backhoff, Julio, et al.
Published: (2024)

Model-independent upper bounds for the prices of Bermudan options with convex payoffs
by: Hobson, David, et al.
Published: (2025)

Bridging classical and martingale Schrödinger bridges
by: Backhoff, Julio, et al.
Published: (2026)