4 papers
Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
Mishari Al-Foraih, Òscar Burés, Jan Pospíšil +1
Using Malliavin calculus techniques, we obtain formulas for computing Greeks under different rough Volterra stochastic volatility models. Due to the fact that underlying prices are…
Monotone iteration scheme for nonlinear PDEs in risk models
Falko Baustian, Jan Pospíšil, Vladimír Švígler
In this paper we study nonlinear partial differential equations (PDEs) that are used to model different value adjustments denoted generally as xVA. These adjustments are nowadays c…
On simulation of rough Volterra stochastic volatility models
Jan Matas, Jan Pospíšil
Rough Volterra volatility models are a progressive and promising field of research in derivative pricing. Although rough fractional stochastic volatility models already proved to b…
Decomposition formula for rough Volterra stochastic volatility models
Raul Merino, Jan Pospíšil, Tomáš Sobotka +2
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly p…