3 citations · 3 across the 5 of their papers we have counts for
5 papers
Explicit local volatility formula for Cheyette-type interest rate models
Alexander Gairat, Vyacheslav Gorovoy, Vadim Shcherbakov
This paper addresses the approximation of the local volatility function in the Cheyette interest rate model. Its main contribution is an explicit analytical formula for approximati…
Extreme ATM skew in a local volatility model with discontinuity: joint density approach
Alexander Gairat, Vadim Shcherbakov
This paper concerns a local volatility model in which volatility takes two possible values, and the specific value depends on whether the underlying price is above or below a given…
Skew Brownian motion with dry friction: joint density approach
Alexander Gairat, Vadim Shcherbakov
This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and join…
Discrete SIR model on a homogeneous tree and its continuous limit
Alexander Gairat, Vadim Shcherbakov
We study a discrete Susceptible-Infected-Recovered (SIR) model for the spread of infectious disease on a homogeneous tree and the limit behavior of the model in the case when the t…
Density of Skew Brownian motion and its functionals with application in finance
Alexander Gairat, Vadim Shcherbakov
We derive the joint density of a Skew Brownian motion, its last visit to the origin, local and occupation times. The result is applied to option pricing in a two valued local volat…