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q-fin.MF2024
Simulation of square-root processes made simple: applications to the Heston model
Eduardo Abi Jaber
We introduce a simple, efficient and accurate nonnegative preserving numerical scheme for simulating the square-root process. The novel idea is to simulate the integrated square-ro…
math.OC2024
Trading with propagators and constraints: applications to optimal execution and battery storage
Eduardo Abi Jaber, Nathan De Carvalho, Huyên Pham
Motivated by optimal execution with stochastic signals, market impact and constraints in financial markets, and optimal storage management in commodity markets, we formulate and so…
q-fin.MF2024
Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
Eduardo Abi Jaber, Shaun, Li +1
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Schöbel-Zhu, one-factor B…