4 papers
Volatility Parametrizations with Random Coefficients: Analytic Flexibility for Implied Volatility Surfaces
Nicola F. Zaugg, Leonardo Perotti, Lech A. Grzelak
It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model…
Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty
Leonardo Perotti, Lech A. Grzelak, Cornelis W. Oosterlee
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude o…
On Pricing of Discrete Asian and Lookback Options under the Heston Model
Leonardo Perotti, Lech A. Grzelak
We propose a new, data-driven approach for efficient pricing of - fixed- and float-strike - discrete arithmetic Asian and Lookback options when the underlying process is driven by…
Fast Sampling from Time-Integrated Bridges using Deep Learning
Leonardo Perotti, Lech A. Grzelak
We propose a methodology to sample from time-integrated stochastic bridges, namely random variables defined as conditioned on and $Y(t_2…