170 citations · 345 across the 27 of their papers we have counts for
11 papers · 1 filter
Improved model-free bounds for multi-asset options using option-implied information and deep learning
Evangelia Dragazi, Shuaiqiang Liu, Antonis Papapantoleon
We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure.…
Detection of arbitrage opportunities in multi-asset derivatives markets
Antonis Papapantoleon, Paulo Yanez Sarmiento
We are interested in the existence of equivalent martingale measures and the detection of arbitrage opportunities in markets where several multi-asset derivatives are traded simult…
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
Julien Hok, Philip Ngare, Antonis Papapantoleon
We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR ra…
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
Antonis Papapantoleon, Robert Wardenga
We consider the class of affine LIBOR models with multiple curves, which is an analytically tractable class of discrete tenor models that easily accommodates positive or negative i…
A tractable LIBOR model with default risk
Zorana Grbac, Antonis Papapantoleon
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces posit…
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon
This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wien…
Old and new approaches to LIBOR modeling
Antonis Papapantoleon
In this article, we review the construction and properties of some popular approaches to modeling LIBOR rates. We discuss the following frameworks: classical LIBOR market models, f…
The affine LIBOR models
Martin Keller-Ressel, Antonis Papapantoleon, Josef Teichmann
We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates ar…
On the valuation of compositions in Lévy term structure models
Wolfgang Kluge, Antonis Papapantoleon
We derive explicit valuation formulae for an exotic path-dependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier t…
Analysis of Fourier transform valuation formulas and applications
Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon
The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option…
An introduction to Lévy processes with applications in finance
Antonis Papapantoleon
These lectures notes aim at introducing Lévy processes in an informal and intuitive way, accessible to non-specialists in the field. In the first part, we focus on the theory of Lé…