We propose a generalized susceptible-exposed-infected-removed (SEIR) model to track COVID-19 in Canadian provinces, taking into account the impact of the pandemics on unemployment. The model is based on a network representing provinces, where the contact between individuals from different...

We propose a generalized susceptible-exposed-infected-removed (SEIR) model to track COVID-19 in Canadian provinces, taking into account the impact of the pandemics on unemployment. The model is based on a network representing provinces, where the contact between individuals from different...

We address the inverse problem of local volatility surface calibration from market given option prices. We integrate the ever-increasing ow of option price information into the well-accepted local volatility model of Dupire. This leads to considering both the local volatility surfaces and their...

In this work we are concerned with valuing the option to invest in a project when the project value and the investment cost are both mean-reverting. Previous works on stochastic project and investment cost concentrate on geometric Brownian motions (GBMs) for driving the factors. However, when...

We apply convex regularization techniques to the problem of calibrating Dupire's local volatility surface model taking into account the practical requirement of discrete grids and noisy data. Such requirements are the consequence of bid and ask spreads, quantization of the quoted prices and lack...