3 papers
math.PR2026
Hölder regularity for backward stochastic Volterra integral equations and applications to numerical schemes
Pere Diaz-Lozano, Giulia Di Nunno
We prove a Hölder-type regularity estimate for the martingale integrand of a backward stochastic Volterra integral equation (BSVIE). The estimate is formulated in after av…
q-fin.MF2026
A Wiener Chaos Approach to Martingale Modelling and Implied Volatility Calibration
Pere Diaz-Lozano, Thomas K. Kloster
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian no…
math.NA2024
Deep Operator BSDE: a Numerical Scheme to Approximate Solution Operators
Pere Diaz-Lozano, Giulia Di Nunno
Motivated by dynamic risk measures and conditional -expectations, in this work we propose a numerical method to approximate the solution operator given by a Backward Stochastic…