6 papers
A class of locally state-dependent models for forward curves
Nils Detering, Silvia Lavagnini
We present a dynamic model for forward curves within the Heath-Jarrow-Morton framework under the Musiela parametrization. The forward curves take values in a function space H, and…
Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
Alessandro Gnoatto, Silvia Lavagnini
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any cu…
Deep Quadratic Hedging
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from t…
Pricing Asian Options with Correlators
Silvia Lavagnini
We derive a series expansion by Hermite polynomials for the price of an arithmetic Asian option. This series requires the computation of moments and correlators of the underlying p…
Accuracy of Deep Learning in Calibrating HJM Forward Curves
Fred Espen Benth, Nils Detering, Silvia Lavagnini
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath-Jarrow-Morton (HJM) approach. For this purpose…
Correlators of Polynomial Processes
Fred Espen Benth, Silvia Lavagnini
In the setting of polynomial jump-diffusion dynamics, we provide an explicit formula for computing correlators, namely, cross-moments of the process at different time points along…