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q-fin.PR2021
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…
q-fin.RM2021
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…