8 papers
Signature-based identification of volatility models from path geometry
Òscar Burés, Rafael De Santiago
We propose a signature-based framework for the identification of stochastic volatility model classes from observed path data. By mapping volatility trajectories into a feature spac…
Matrix Approximation of Bachelier Option Prices and Greeks under Stochastic Volatility models
Elisa Alòs, Òscar Burés
In this paper, we present a numerical method for option pricing and the computation of Greeks under stochastic volatility Bachelier-type models, based on elementary linear algebra.…
Analytic approximation for Bachelier option prices and applications
Elisa Alòs, Òscar Burés
It is well-known that, in the Bachelier model, when asset prices and volatilities are uncorrelated, the implied volatility coincides with the fair value of the volatility swap. In…
On the short-time behaviour of up-and-in barrier options using Malliavin calculus
Òscar Burés
In this paper we study the short-maturity asymptotics of up-and-in barrier options under a broad class of stochastic volatility models. Our approach uses Malliavin calculus techniq…
Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
Elisa Alòs, Òscar Burés, Rafael de Santiago +1
We study two complementary methodologies for calibrating implied volatility surfaces: analytical approximations and data-driven models based on rough path theory. On the analytical…
Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
Elisa Alòs, Òscar Burés, Josep Vives
In this paper we use Malliavin Calculus techniques in order to obtain expressions for the short-time behavior of the at-the-money implied volatility (ATM-IV) level and skew for a j…
On the positivity of the density of stochastic delay differential equations driven by a fractional Brownian motion
Òscar Burés, Carles Rovira
In this paper, we consider a Stochastic Delay Differential Equation with constant delay and, under the same conditions on the coefficients needed to ensure the smoothness of…
Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
Mishari Al-Foraih, Òscar Burés, Jan Pospíšil +1
Using Malliavin calculus techniques, we obtain formulas for computing Greeks under different rough Volterra stochastic volatility models. Due to the fact that underlying prices are…