71 citations · 96 across the 9 of their papers we have counts for
9 papers
Robustness and sensitivity analyses for rough Volterra stochastic volatility models
Jan Matas, Jan Pospíšil
In this paper, we analyze the robustness and sensitivity of various continuous-time rough Volterra stochastic volatility models in relation to the process of market calibration. Mo…
A note on a PDE approach to option pricing under xVA
Falko Baustian, Martin Fencl, Jan Pospíšil +1
In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to…
Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
Josef Daněk, J. Pospíšil
In mathematical finance, a process of calibrating stochastic volatility (SV) option pricing models to real market data involves a numerical calculation of integrals that depend on…
Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
Jan Pospíšil, Tomáš Sobotka, Philipp Ziegler
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The ana…
Solution of option pricing equations using orthogonal polynomial expansion
Falko Baustian, Kateřina Filipová, Jan Pospíšil
In this paper we study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabo…
Isogeometric analysis in option pricing
Jan Pospíšil, Vladimír Švígler
Isogeometric analysis is a recently developed computational approach that integrates finite element analysis directly into design described by non-uniform rational B-splines (NURBS…