We present an embarrassingly simple method for supervised learning of SABR model's European option price function based on lookup table or rote machine learning. Performance in time domain is comparable to generally used analytic approximations utilized in financial industry. However, unlike the...

We propose a hybrid scheme for the simulation of stochastic Volterra equations. The scheme is a mix of the hybrid scheme for Brownian semistationary processes of Bennedsen et al. [Financ. Stoch., 21(4), 931-965, 2017] and then the multifactor approximations of Abi Jaber et al. [SIAM J. Finan....

In this article we suggest a new method for solutions of stochastic integrals where the dynamics of the variables in integrand are given by some stochastic differential equation. We also propose numerical simulation of stochastic differential equations which is based on iterated integrals method...

In this article, the Universal Approximation Theorem of Artificial Neural Networks (ANNs) is applied to the SABR stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et al. [2002] is considered, then a more accurate...

We find explicit formulas for the moments of the time integral of an exponential Lévy process. We consider both the cases of unconditional moments and conditional on the Lévy process level at the endpoints of the time interval. We propose a new methodology for reconstructing the unknown...

According to IFRS 9, an Entity shall assess - by performing a quantitative assessment - the relevance of the modification of the time value of money element, i.e. the modification of the interest that can be observed, e.g. in all the instruments whose underlying interest rate tenors are...

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

The proliferation of algorithmic high-frequency trading in financial markets has also led to an increase in new types of fraudulent activity. Since the flash-crash of 2010 first brought it to popular prominence, layering or spoofing fraud has become a major concern for financial regulators...

We revisit well-known stochastic volatility models with constant coefficients for single asset driven by one factor stochastic volatility as homogeneous diffusion and demonstrate an alternative to the classifications provided in Albanese and Lawi, and Henry-Labord`ere, to deduce asset price...