2 papers
q-fin.MF2025
Rough PDEs for local stochastic volatility models
Peter Bank, Christian Bayer, Peter K. Friz +1
In this work, we introduce a novel pricing methodology in general, possibly non-Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics…
q-fin.TR2024
Optimal execution and speculation with trade signals
Peter Bank, Ãlvaro Cartea, Laura Körber
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of lim…