no code implementations • 1 Dec 2023 • Mishari Al-Foraih, Jan Pospíšil, Josep Vives
Using Malliavin calculus techniques we obtain formulas for computing Greeks under different rough Volterra stochastic volatility models.
no code implementations • 26 Jul 2021 • Jan Matas, Jan Pospíšil
Rough Volterra volatility models are a progressive and promising field of research in derivative pricing.
no code implementations • 26 Jul 2021 • Jan Matas, Jan Pospíšil
In this paper, we analyze the robustness and sensitivity of various continuous-time rough Volterra stochastic volatility models in relation to the process of market calibration.
no code implementations • 30 Apr 2021 • Falko Baustian, Martin Fencl, Jan Pospíšil, Vladimír Švígler
In this paper we study partial differential equations (PDEs) that can be used to model value adjustments.
no code implementations • 13 Dec 2019 • Falko Baustian, Kateřina Filipová, Jan Pospíšil
In this paper we study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials.
no code implementations • 13 Dec 2019 • Jan Pospíšil, Tomáš Sobotka, Philipp Ziegler
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration.
no code implementations • 17 Jun 2019 • Raul Merino, Jan Pospíšil, Tomáš Sobotka, Tommi Sottinen, Josep Vives
Numerical properties of the approximation for a popular model -- the rBergomi model -- are studied and we propose a hybrid calibration scheme which combines the approximation formula alongside MC simulations.
no code implementations • 17 Jun 2019 • Raul Merino, Jan Pospíšil, Tomáš Sobotka, Josep Vives
In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models).
