8 citations · 12 across the 7 of their papers we have counts for
12 papers
Implied Volatility Expansions for VIX Options in Forward Variance Models
Ying Liao, Ankush Agarwal, Florian Bourgey
We develop closed-form expansions for the implied volatility of VIX options within the class of forward variance models. Our approach builds on weak-approximation techniques for VI…
Forecasting implied volatility surface with generative diffusion models
Chen Jin, Ankush Agarwal
Diffusion Probabilistic Model (DDPM) for generating one-day-ahead arbitrage-free implied volatility surfaces. To capture the path-dependent nature of volatility dynamics, we condit…
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
A. Agarwal, S. De Marco, E. Gobet +3
We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide ex…
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent
Ankush Agarwal, Andrea Amato, Goncalo dos Reis +1
We propose a novel approach to numerically approximate McKean-Vlasov stochastic differential equations (MV-SDE) using stochastic gradient descent (SGD) while avoiding the use of in…
Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
Ankush Agarwal, Christian-Oliver Ewald, Yongjie Wang
This work studies a stochastic optimal control problem for a pension scheme which provides an income-drawdown policy to its members after their retirement. To manage the scheme eff…
The implied Sharpe ratio
Ankush Agarwal, Matthew Lorig
In an incomplete market, including liquidly-traded European options in an investment portfolio could potentially improve the expected terminal utility for a risk-averse investor. H…
Hedging longevity risk in defined contribution pension schemes
Ankush Agarwal, Christian-Oliver Ewald, Yongjie Wang
Pension schemes all over the world are under increasing pressure to efficiently hedge the longevity risk posed by ageing populations. In this work, we study an optimal investment p…
A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs with Lévy jumps
Ankush Agarwal, Stefano Pagliarani
We consider a class of Lévy-driven stochastic differential equations (SDEs) with McKean-Vlasov (MK-V) interaction in the drift coefficient. It is assumed that the coefficient is bo…
Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method
Ankush Agarwal, Julien Claisse
We study semi-linear elliptic PDEs with polynomial non-linearity and provide a probabilistic representation of their solution using branching diffusion processes. When the non-line…
Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio
Ankush Agarwal, Ronnie Sircar
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and unde…
Asymptotic expansion for characteristic function in Heston stochastic volatility model with fast mean-reverting correction
Ankush Agarwal
In this note, we derive the characteristic function expansion for logarithm of the underlying asset price in corrected Heston model as proposed by Fouque and Lorig.
Efficient simulation of density and probability of large deviations of sum of random vectors using saddle point representations
Santanu Dey, Sandeep Juneja, Ankush Agarwal
We consider the problem of efficient simulation estimation of the density function at the tails, and the probability of large deviations for a sum of independent, identically distr…