3 papers
q-fin.CP2026
A Geometry-Aware Residual Correction of Hagan's SABR Implied Volatility Formula
Adil Reghai, Lama Tarsissi, Gérard Biau +1
This paper proposes a hybrid methodology to improve the approximation of SABR (Stochastic Alpha Beta Rho) implied volatility by combining analytical structure with machine learning…
q-fin.MF2023
SPX, VIX and scale-invariant LSV\footnote{Local Stochastic Volatility}
Alexander Lipton, Adil Reghai
Local Stochastic Volatility (LSV) models have been used for pricing and hedging derivatives positions for over twenty years. An enormous body of literature covers analytical and nu…
q-fin.CP2020
Computation of Expected Shortfall by fast detection of worst scenarios
Bruno Bouchard, Adil Reghai, Benjamin Virrion
We consider a multi-step algorithm for the computation of the historical expected shortfall such as defined by the Basel Minimum Capital Requirements for Market Risk. At each step…