Cover Image

Complex discontinuities of the square root of Fredholm determinants in the Volterra Stein-Stein model

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Jaber, Eduardo Abi, Guellil, Maxime
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Computational Finance 91G20, 45P05
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Hedging with memory: shallow and deep learning with signatures
by: Jaber, Eduardo Abi, et al.
Published: (2025)

The Volterra Stein-Stein model with stochastic interest rates
by: Jaber, Eduardo Abi, et al.
Published: (2025)

Simulation of square-root processes made simple: applications to the Heston model
by: Jaber, Eduardo Abi
Published: (2024)

State spaces of multifactor approximations of nonnegative Volterra processes
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
by: Choi, Jaehyuk, et al.
Published: (2024)

Calibrated rank volatility stabilized models for large equity markets
by: Itkin, David, et al.
Published: (2024)

Curved Greeks: A Geometric Layer for Option P&L Adjustments
by: Velasco, Pedro Pablo Pérez, et al.
Published: (2026)

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

Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
by: Jaber, Eduardo Abi, et al.
Published: (2025)

A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration
by: Diaz-Lozano, Pere, et al.
Published: (2026)

Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing
by: Deep, Akash, et al.
Published: (2025)

Fredholm Approach to Nonlinear Propagator Models
by: Jaber, Eduardo Abi, et al.
Published: (2025)

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

Computing Systemic Risk Measures with Graph Neural Networks
by: Gonon, Lukas, et al.
Published: (2024)

A Monotone Limit Approach to Entropy-Regularized American Options
by: Chee, Daniel, et al.
Published: (2026)

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

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

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)

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

A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
by: Papapantoleon, Antonis, et al.
Published: (2024)

A Formally Verified Library of Mathematical Finance in Lean 4
by: Coelho, Raphael
Published: (2026)

Single- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall Risk
by: Hammouda, Chiheb Ben, et al.
Published: (2026)

Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems
by: Gaigall, Daniel, et al.
Published: (2025)

Error Analysis of Deep PDE Solvers for Option Pricing
by: Rou, Jasper
Published: (2025)

The Riccati Tontine: How to Satisfy Regulators on Average
by: Milevsky, Moshe A., et al.
Published: (2024)

On the market-consistent valuation of health insurance liabilities
by: Hochgerner, Simon, et al.
Published: (2026)

Pricing under the Benchmark Approach
by: Platen, Eckhard
Published: (2025)

Pricing and hedging of SOFR derivatives
by: Bickersteth, Matthew, et al.
Published: (2021)

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

On an Optimal Stopping Problem with a Discontinuous Reward
by: Mackay, Anne, et al.
Published: (2023)

Optimal market-neutral currency trading on the cryptocurrency platform
by: Yang, Hongshen, et al.
Published: (2024)

A pure dual approach for hedging Bermudan options
by: Alfonsi, Aurélien, et al.
Published: (2024)

Time Deep Gradient Flow Method for pricing American options
by: Rou, Jasper
Published: (2025)

Joint calibration to SPX and VIX options with signature-based models
by: Cuchiero, Christa, et al.
Published: (2023)

Enhancing Fourier pricing with machine learning
by: Junike, Gero, et al.
Published: (2024)

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

A new measure of risk using Fourier analysis
by: Grabinski, Michael, et al.
Published: (2024)

Factor risk measures
by: Assa, Hirbod, et al.
Published: (2024)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
by: Han, Xiyue, et al.
Published: (2025)