no code implementations • 28 Jul 2023 • Sergio Pulido, Mathieu Rosenbaum, Emmanouil Sfendourakis
To this end, we study a market-making problem which allows us to view the imbalance as an optimal response to price moves.
no code implementations • 22 Oct 2022 • Alessandro Bondi, Sergio Pulido, Simone Scotti
We show that our parsimonious setup is able to simultaneously capture, with a high precision, the behavior of the implied volatility smile for both S&P 500 and VIX options.
no code implementations • 22 Mar 2021 • Etienne Chevalier, Sergio Pulido, Elizabeth Zúñiga
We price American options using kernel-based approximations of the Volterra Heston model.
