Cover Image

Consistent asset modelling with random coefficients and switches between regimes

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Wolf, Felix L., Deelstra, Griselda, Grzelak, Lech A.
Format:	Preprint
Published:	2024
Subjects:	Pricing of Securities Computational Finance Risk Management 91G20 91G30
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Accelerated Computations of Sensitivities for xVA
by: Deelstra, Griselda, et al.
Published: (2022)

The fundamental representation of pricing adjustments
by: Burnett, Benedict, et al.
Published: (2025)

No Fear of Discounting How to Manage the Transition from EONIA to ESTR
by: Bianchetti, Marco, et al.
Published: (2025)

The Black-Scholes-Merton dual equation
by: Guo, Shuxin, et al.
Published: (2019)

Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
by: Silotto, Lorenzo, et al.
Published: (2021)

Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk
by: Miguelez, Juan Jose Francisco, et al.
Published: (2023)

When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization
by: Biagini, Francesca, et al.
Published: (2025)

Closed-form solutions for VIX derivatives in a Legendre empirical model
by: Wang, Ying-Li, et al.
Published: (2023)

Replication-Consistent Liquidity Forecasting for Derivatives -- Forward Funding Sensitivities and a Liquidity Valuation Adjustment for Settlement Lags
by: Fries, Christian P.
Published: (2026)

Pricing and calibration in the 4-factor path-dependent volatility model
by: Gazzani, Guido, et al.
Published: (2024)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
by: Tissot-Daguette, Valentin
Published: (2026)

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
by: Fernholz, Ricardo T., et al.
Published: (2023)

Multifactor Quadratic Hobson and Rogers models
by: Foschi, Paolo
Published: (2025)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
by: Choi, Jaehyuk, et al.
Published: (2023)

From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
by: Wizman, Aaron, et al.
Published: (2026)

Push-response anomalies in high-frequency S&P 500 price series
by: Vlasiuk, Dmitrii, et al.
Published: (2025)

Filtration Reduction and Completeness in Jump-Diffusion Models
by: Grigorian, Karen, et al.
Published: (2023)

Bitcoin option pricing: A market attention approach
by: Julia, Alvaro Guinea, et al.
Published: (2021)

Stochastic Volatility, Jumps, and Rates: A Unified Framework for Option Pricing and Term-Structure Simulation
by: Putri, Nunik Srikandi, et al.
Published: (2026)

A functional variational approach to pricing path dependent insurance policies
by: Baños, David R., et al.
Published: (2024)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
by: Grzelak, Lech A.
Published: (2022)

A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
by: Negyesi, Balint, et al.
Published: (2025)

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

Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
by: Scoleri, Stefano, et al.
Published: (2026)

Equity Protection Swaps: A New Type of Investment Insurance for Holders of Superannuation Accounts
by: Xu, Huansang, et al.
Published: (2023)

Optimal strategy and deep hedging for share repurchase programs
by: Corti, Stefano, et al.
Published: (2026)

Rough volatility dynamics in commodity markets
by: Daluiso, Roberto, et al.
Published: (2026)

Machine-learning regression methods for American-style path-dependent contracts
by: Gambara, Matteo, et al.
Published: (2023)

Pricing Quanto and Composite Contracts with Local-Correlation Models
by: Pallavicini, Andrea
Published: (2025)

A framework for the valuation of insurance liabilities by production cost
by: Moehr, Christoph
Published: (2023)

Jump risk premia in the presence of clustered jumps
by: Liu, Francis, et al.
Published: (2025)

Valuation of Exotic Options and Counterparty Games Based on Conditional Diffusion
by: Zhao, Helin, et al.
Published: (2025)

The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
by: Huang, Zhipeng, et al.
Published: (2026)

Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
by: Gnoatto, Alessandro, et al.
Published: (2023)

Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
by: Mink, Mark, et al.
Published: (2022)

Impact of Climate transition on Credit portfolio's loss with stochastic collateral
by: Sopgoui, Lionel
Published: (2024)

General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework
by: Dupret, Jean-Loup, et al.
Published: (2026)

Deep Least Squares Monte Carlo methods for the valuation of variable annuities with guarantees
by: Langrené, Nicolas, et al.
Published: (2026)

The PEAL Method: a mathematical framework to streamline securitization structuring
by: Pinto, Andrea, et al.
Published: (2024)

Equilibrium with Heterogeneous Information Flows
by: Robertson, Scott
Published: (2023)