annuity on the market granting him a better price. If, however, mortality improves more than expected, the policyholder will …

model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading … selling in the dark pool, a trader might generate profits; we provide sufficient conditions to rule out such profitable price …

volatility variable, when included into the training sample, boosts the predictive power of the model significantly. …

, higher price impact and increased volatility. In particular, as large hidden orders fail to attract (latent) liquidity to the …

The pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in … the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in … algorithms of the implied volatility surface cannot guarantee the absence arbitrage. Here, we propose an approach for smoothing …