12 citations · 19 across the 6 of their papers we have counts for
6 papers
Inflation Models with Correlation and Skew
Orcan Ogetbil, Bernhard Hientzsch
We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different…
A Flexible Commodity Skew Model with Maturity Effects
Orcan Ogetbil, Bernhard Hientzsch
We propose a non-parametric extension with leverage functions to the Andersen commodity curve model. We calibrate this model to market data for WTI and NG including option skew at…
Calibrating Local Volatility Models with Stochastic Drift and Diffusion
Orcan Ogetbil, Narayan Ganesan, Bernhard Hientzsch
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and…
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
Orcan Ogetbil, Bernhard Hientzsch
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as diff…
Stable de Sitter Vacua in 4 Dimensional Supergravity Originating from 5 Dimensions
O. Ogetbil
The five dimensional stable de Sitter ground states in N=2 supergravity obtained by gauging SO(1,1) symmetry of the real symmetric scalar manifold (in particular a generic Jordan f…
A General Study of Ground States of N=2 Supergravity Theories with Symmetric Scalar Manifolds in 5 Dimensions
O. Ogetbil
After reviewing the existing results we give an extensive analysis of the critical points of the potentials of the gauged N=2 Yang-Mills/Einstein Supergravity theories coupled to t…