8 papers
Signature-based identification of volatility models from path geometry
Ãscar Burés, Rafael De Santiago
We propose a signature-based framework for the identification of stochastic volatility model classes from observed path data. By mapping volatility trajectories into a feature spac…
Matrix Approximation of Bachelier Option Prices and Greeks under Stochastic Volatility models
Elisa Alòs, Ãscar Burés
In this paper, we present a numerical method for option pricing and the computation of Greeks under stochastic volatility Bachelier-type models, based on elementary linear algebra.…
Analytic approximation for Bachelier option prices and applications
Elisa Alòs, Ãscar Burés
It is well-known that, in the Bachelier model, when asset prices and volatilities are uncorrelated, the implied volatility coincides with the fair value of the volatility swap. In…
On the short-time behaviour of up-and-in barrier options using Malliavin calculus
Ãscar Burés
In this paper we study the short-maturity asymptotics of up-and-in barrier options under a broad class of stochastic volatility models. Our approach uses Malliavin calculus techniq…
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
Elisa Alòs, Ãscar Burés, Rafael de Santiago +1
We study two complementary methodologies for calibrating implied volatility surfaces: analytical approximations and data-driven models based on rough path theory. On the analytical…
Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
Mishari Al-Foraih, Ãscar Burés, Jan PospÃÅ¡il +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…