The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and Martini in 2019. A robust calibration of such surfaces has already been proposed by the quantitative research team at Zeliade in 2019, but it is sequential in expiries and lacks of...

Recent evolutions of the business of exotic products has rendered the use of stochastic volatility models necessary. Calibration of single stochastic volatility models has already been discussed in several articles. The purpose of this paper is to build a parameterization of the correlation...

Investment-grade tranches of pools of assets by design suffer losses only rarely. The rarity of the events, or equivalently, the size of the tail, depend crucially upon the correlation between the assets. We here study the asymptotics of a model for credit assets, where correlations are due to a...

A common feature of financial time series is their strong persistence. Yet, long memory may just be the spurious effect of either structural breaks or slow switching regimes. So far, five testing procedures have been proposed to distinguish between true and spurious long memory. The tests are...