The Approach of Sliced Inference in Systems of Stochastic Differential Equations with Comments on the Heston Model
Fuente:
arXiv
Saved in:
| Main Author: | Özsoy, Ahmet Umur |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Distributional Reinforcement Learning on Path-dependent Options
by: Özsoy, Ahmet Umur
Published: (2025)
by: Özsoy, Ahmet Umur
Published: (2025)
Selective Forgetting in Option Calibration: An Operator-Theoretic Gauss-Newton Framework
by: Özsoy, Ahmet Umur
Published: (2025)
by: Özsoy, Ahmet Umur
Published: (2025)
Combined Mutiplicative-Heston Model for Stochastic Volatility
by: Moghaddam, M. Dashti, et al.
Published: (2018)
by: Moghaddam, M. Dashti, et al.
Published: (2018)
The rough Hawkes Heston stochastic volatility model
by: Alessandro Bondi, et al.
Published: (2024)
by: Alessandro Bondi, et al.
Published: (2024)
Simulation of square-root processes made simple: applications to the Heston model
by: Jaber, Eduardo Abi
Published: (2024)
by: Jaber, Eduardo Abi
Published: (2024)
Heston vol-of-vol and the VVIX
by: Healy, Jherek
Published: (2025)
by: Healy, Jherek
Published: (2025)
Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options
by: Tu, Yun-Feng, et al.
Published: (2025)
by: Tu, Yun-Feng, et al.
Published: (2025)
Lifted Heston Model: Efficient Monte Carlo Simulation with Large Time Steps
by: Zaugg, Nicola F., et al.
Published: (2025)
by: Zaugg, Nicola F., et al.
Published: (2025)
Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
by: Jaber, Eduardo Abi, et al.
Published: (2025)
by: Jaber, Eduardo Abi, et al.
Published: (2025)
Stochastic Calculus and the Black-Scholes-Merton Model: A Simplified Approach
by: Chang, Kuo-Ping
Published: (2026)
by: Chang, Kuo-Ping
Published: (2026)
Solving Stochastic Climate‐Economy Models: A Deep Least‐Squares Monte Carlo Approach
by: Aleksandar Arandjelović, et al.
Published: (2026)
by: Aleksandar Arandjelović, et al.
Published: (2026)
Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
by: Jaber, Eduardo Abi, et al.
Published: (2025)
by: Jaber, Eduardo Abi, et al.
Published: (2025)
A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans
by: Nguyen, Minh-Quan, et al.
Published: (2024)
by: Nguyen, Minh-Quan, et al.
Published: (2024)
Rough PDEs for Local Stochastic Volatility Models
by: Peter Bank, et al.
Published: (2025)
by: Peter Bank, et al.
Published: (2025)
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method
by: Cozma, Andrei, et al.
Published: (2017)
by: Cozma, Andrei, et al.
Published: (2017)
Polar Coordinates for the 3/2 Stochastic Volatility Model
by: Paul Nekoranik
Published: (2025)
by: Paul Nekoranik
Published: (2025)
Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models
by: He, Jian, et al.
Published: (2025)
by: He, Jian, et al.
Published: (2025)
On a Stationarity Theory for Stochastic Volterra Integral Equations
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)
A Calculus of Variations Approach to Stochastic Control
by: Lorig, Matthew
Published: (2025)
by: Lorig, Matthew
Published: (2025)
Stochastic Volatility Model with Sticky Drawdown and Drawup Processes: A Deep Learning Approach
by: Liu, Yuhao, et al.
Published: (2025)
by: Liu, Yuhao, et al.
Published: (2025)
Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options
by: Bain, Alan, et al.
Published: (2019)
by: Bain, Alan, et al.
Published: (2019)
Automated Market Makers: A Stochastic Optimization Approach for Profitable Liquidity Concentration
by: Zeller, Simon Caspar, et al.
Published: (2025)
by: Zeller, Simon Caspar, et al.
Published: (2025)
Rough Path Approaches to Stochastic Control, Filtering, and Stopping
by: Mavroforas, Jonathan A., et al.
Published: (2025)
by: Mavroforas, Jonathan A., et al.
Published: (2025)
Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling
by: Giovanni Amici, et al.
Published: (2026)
by: Giovanni Amici, et al.
Published: (2026)
Understanding Short-Term Implied Volatility Dynamics: A Model-Independent Approach Beyond Stochastic Volatility
by: Cheng, Liexin, et al.
Published: (2024)
by: Cheng, Liexin, et al.
Published: (2024)
Quantum Probability Theoretic Asset Return Modeling: A Novel Schrödinger-Like Trading Equation and Multimodal Distribution
by: Lin, Li
Published: (2024)
by: Lin, Li
Published: (2024)
Unwinding Stochastic Order Flow: When to Warehouse Trades
by: Marcel Nutz, et al.
Published: (2025)
by: Marcel Nutz, et al.
Published: (2025)
Semiclassical CEV Option Pricing Model: an Analytical Approach
by: Capitán, Jose A., et al.
Published: (2024)
by: Capitán, Jose A., et al.
Published: (2024)
Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing
by: Qiu, Jinniao, et al.
Published: (2024)
by: Qiu, Jinniao, et al.
Published: (2024)
Eigen Portfolios: From Single Component Models to Ensemble Approaches
by: Zhou, ZhengXiang, et al.
Published: (2025)
by: Zhou, ZhengXiang, et al.
Published: (2025)
Stochastic Expansion for the Pricing of Asian and Basket Options
by: Floc'h, Fabien Le
Published: (2024)
by: Floc'h, Fabien Le
Published: (2024)
Heterogenous Macro-Finance Model: A Mean-field Game Approach
by: Vu, Hoang, et al.
Published: (2025)
by: Vu, Hoang, et al.
Published: (2025)
Multivariate Variance Swap Using Generalized Variance Method for Stochastic Volatility models
by: Gebresilassie, Semere, et al.
Published: (2025)
by: Gebresilassie, Semere, et al.
Published: (2025)
Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices
by: Moghaddam, M. Dashti, et al.
Published: (2019)
by: Moghaddam, M. Dashti, et al.
Published: (2019)
Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise
by: Cui, Xiangyu, et al.
Published: (2024)
by: Cui, Xiangyu, et al.
Published: (2024)
Option Pricing with Stochastic Volatility, Equity Premium, and Interest Rates
by: Hao, Nicole, et al.
Published: (2024)
by: Hao, Nicole, et al.
Published: (2024)
Mathematics of Differential Machine Learning in Derivative Pricing and Hedging
by: Gomes, Pedro Duarte
Published: (2024)
by: Gomes, Pedro Duarte
Published: (2024)
Modeling and Stabilizing Financial Systemic Risk Using Optimal Control Theory
by: Wu, Jiacheng
Published: (2025)
by: Wu, Jiacheng
Published: (2025)
Revisiting Stochastic Collocation with Exponential Splines for an Arbitrage-Free Interpolation of Option Prices
by: Floc'h, Fabien Le
Published: (2025)
by: Floc'h, Fabien Le
Published: (2025)
Similar Items
-
Distributional Reinforcement Learning on Path-dependent Options
by: Özsoy, Ahmet Umur
Published: (2025) -
Selective Forgetting in Option Calibration: An Operator-Theoretic Gauss-Newton Framework
by: Özsoy, Ahmet Umur
Published: (2025) -
Combined Mutiplicative-Heston Model for Stochastic Volatility
by: Moghaddam, M. Dashti, et al.
Published: (2018) -
The rough Hawkes Heston stochastic volatility model
by: Alessandro Bondi, et al.
Published: (2024) -
Simulation of square-root processes made simple: applications to the Heston model
by: Jaber, Eduardo Abi
Published: (2024)