We derive an optimal strategy for minimizing the expected loss in two-period economy when a pivotal decision needs to be made during the first time period and cannot be subsequently reversed. Our interest in the problem has been motivated by the classical shopper's dilemma during the Black...

We study the mass at the origin in the uncorrelated SABR stochastic volatility model, and derive several tractable expressions, in particular when time becomes small or large. As an application -- in fact the original motivation for this paper -- we derive small-strike expansions for the implied...

We suggest a new way of setting up multifactor models with hidden variables. We claim that the standard initial condition, which assigns some fixed value to the stochastic volatility subprocess, is illogical and greatly underestimates the effect of the hidden variable. For instance, a stochastic...

We construct realistic equity option market simulators based on generative adversarial networks (GANs). We consider recurrent and temporal convolutional architectures, and assess the impact of state compression. Option market simulators are highly relevant because they allow us to extend the...

Mr. Thomas Krawinkel's paper raises the issue of how limits on buying power in executing trades can have a significant impact on the active trader's system results or expectations. It sheds light on the fact that parallel trades consume buying power up to the point where any further trade must...

Stochastic volatility models are widely used in interest rate modeling to match the option smiles -- the two most popular are the Heston model and the SABR one. These have been incorporated into arbitrage-free term structure frameworks, Heston-LMM and SABR-LMM respectively.In this paper we...

In the current low-interest-rate environment, extending option models to negative rates has become an important issue. In our previous paper, we introduced the Free SABR model, which is a natural and an attractive extension to the classical SABR model. In spite of its advantages over the Shifted...

Spanish Abstract: Este trabajo presenta una evaluación de eficiencia en el uso de bases de datos digitales (BD) para la producción científica en las universidades colombianas acreditadas en el año 2013. Se empleó como metodología el Análisis Envolvente de Datos (AED). Como inputs se...

Phase-type distribution has been an important probabilistic tool in the analysis of complex stochastic system evolution. It was introduced by Neuts in 1975. The model describes the lifetime distribution of a finite-state absorbing Markov chains, and has found many applications in wide range of...