203 citations · 730 across the 42 of their papers we have counts for
46 papers
Surface-Driven Stochastic Volatility for Commodity Options: Identification of Stochastic Vol-of-Vol and Leverage from Smile Dynamics
Arthur Steve Tchoneteck, Tingjia Zhang, Frederi Viens
Commodity option surfaces contain information beyond the at-the-money volatility level. We develop a surface-driven stochastic-volatility framework for soybean futures options usin…
Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing
Dongdong Hu, Hasanjan Sayit, Steve Tchoneteck +1
Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution. This paper de…
Tests of independence for pairs of paths of non-stationary Gaussian processes
Philip A. Ernst, Frederi G. Viens, Shuo Yan
In the current work, we provide theoretical results for testing (in)dependence between pairs of paths of most commonly studied non-stationary Gaussian processes - standard Brownian…
Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: The correlated case
Soukaina Douissi, Philip Ernst, Frederi Viens
We study the continuous-time version of the empirical correlation coefficient between the paths of two possibly correlated Ornstein-Uhlenbeck processes, known as Yule's nonsense co…
A Bayesian mixture model approach to quantifying the empirical nuclear saturation point
C. Drischler, P. G. Giuliani, S. Bezoui +2
The equation of state (EOS) in the limit of infinite symmetric nuclear matter exhibits an equilibrium density, , at which the pressure vanishe…
The isometry of symmetric-Stratonovich integrals w.r.t. Fractional Brownian motion
Alberto Ohashi, Francesco Russo, Frederi Viens
In this work, we present a detailed analysis on the exact expression of the -norm of the symmetric-Stratonovich stochastic integral driven by a multi-dimensional fractional Br…