5 citations · 6 across the 3 of their papers we have counts for
4 papers
A Distributional Framework for Behavioral Characterization and Risk Management of Large Language Models
David García-Lorite, Raul Merino
Large language models are stochastic by nature. Repeated executions under the same experimental conditions may produce different responses. We propose a framework that can be appli…
Convexity adjustments à la Malliavin
David García-Lorite, Raul Merino
In this paper, we develop a novel method based on Malliavin calculus to find an approximation for the convexity adjustment for various classical interest rate products. Malliavin c…
On the skew and curvature of implied and local volatilities
Elisa Alòs, David García-Lorite, Makar Pravosud
In this paper, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the re…
On smile properties of volatility derivatives and exotic products: understanding the VIX skew
Elisa Alòs, David García-Lorite, Aitor Muguruza
We develop a method to study the implied volatility for exotic options and volatility derivatives with European payoffs such as VIX options. Our approach, based on Malliavin calcul…