11 citations · 17 across the 11 of their papers we have counts for
12 papers
Neural SDEs for Conditional Time Series Generation and the Signature-Wasserstein-1 metric
Pere Díaz Lozano, Toni Lozano Bagén, Josep Vives
(Conditional) Generative Adversarial Networks (GANs) have found great success in recent years, due to their ability to approximate (conditional) distributions over extremely high d…
Decomposition formula for rough Volterra stochastic volatility models
Raul Merino, Jan Pospíšil, Tomáš Sobotka +2
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly p…
Decomposition formula for jump diffusion models
Raul Merino, Jan Pospíšil, Tomáš Sobotka +1
In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an e…
Higher order approximation of call option prices under stochastic volatility models
Archil Gulisashvili, Raúl Merino, Marc Lagunas +1
In the present paper, a decomposition formula for the call price due to Alòs is transformed into a Taylor type formula containing an infinite series with stochastic terms. The new…
Time-consistent investment and consumption strategies under a general discount function
I. Alia, F. Chighoub, N. Khelfallah +1
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow t…
About the decomposition of pricing formulas under stochastic volatility models
Raul Merino, Josep Vives
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Alòs in [2] for the Heston mo…