5 citations · 8 across the 7 of their papers we have counts for
8 papers
Quantum option pricing via the Karhunen-Loève expansion
Anupam Prakash, Yue Sun, Shouvanik Chakrabarti +8
We consider the problem of pricing discretely monitored Asian options over monitoring points where the underlying asset is modeled by a geometric Brownian motion. We provide tw…
A quantum spectral method for simulating stochastic processes, with applications to Monte Carlo
Adam Bouland, Aditi Dandapani, Anupam Prakash
Stochastic processes play a fundamental role in physics, mathematics, engineering and finance. One potential application of quantum computation is to better approximate properties…
Insiders and their Free Lunches: the Role of Short Positions
Delia Coculescu, Aditi Dandapani
Given a stock price process, we analyse the potential of arbitrage by insiders in a context of short-selling prohibitions. We introduce the notion of minimal supermartingale measur…
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility
Aditi Dandapani, Philip Protter
In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the su…
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Aditi Dandapani, Paul Jusselin, Mathieu Rosenbaum
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phen…
Strict Local Martingales and the Khasminskii test for Explosions
Philip Protter, Aditi Dandapani
We exhibit sufficient conditions such that components of a multidimensional SDE giving rise to a local martingale are strict local martingales or martingales. We assume that th…
Strict Local Martingales via Filtration Enlargement
Aditi Dandapani, Philip Protter
A strict local martingale is a local martingale that is not a martingale. We investigate how such a process might arise from a true martingale as a result of an enlargement of the…
Stochastic model of virus and defective interfering particle spread across mammalian cells with immune response
Neil R. Clark, Karla A. Tapia, Aditi Dandapani +3
Much of the work on modeling the spread of viral infections utilized partial differential equa- tions. Traveling-wave solutions to these PDEs are typically concentrated on velociti…