In this paper we consider the optimal transport approach for computing the model-free prices of a given path-dependent contingent claim in a two periods model. More precisely, we first specialize the optimal transport plan introduced in \cite{BeiglJuil}, following the construction of...

This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the...

We provide explicit conditions on the distribution of risk-neutral log-returns which yield sharp asymptotic estimates on the implied volatility smile. Our results extend previous work of Benaim and Friz [Math. Finance 19 (2009), 1-12] and are valid in great generality, both for extreme strike...

We consider a stochastic volatility model which captures relevant stylized facts of financial series, including the multiscaling of moments. Using large deviations techniques, we determine the asymptotic shape of the implied volatility surface in any regime of small maturity $t \to 0$ or extreme...

We study the term structure of the implied volatility in the presence of a symmetric smile. Exploiting the result by Tehranchi (2009) that a symmetric smile generated by a continuous martingale necessarily comes from a mixture of normal distributions, we derive representation formulae for the...

This paper focuses on pricing and hedging options on a zero-coupon bond in a Heath?Jarrow?Morton (1992) framework when the value and/or functional form of forward interest rates volatility is unknown, but is assumed to lie between two fixed values. Due to the link existing between the drift and...

The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the dynamics of the stock and its volatility. Within this...