1 citations · 1 across the 4 of their papers we have counts for
4 papers
Gatheral's Conjecture Revisited
Vladimir Lucic
We consider the Heston model with perfect negative spot--variance correlation and its one-dimensional local-volatility projection. Let and den…
Local Stochastic Rough Volatility: Pathwise Filtering and the Conditional Density Equation
Damiano Brigo, Vladimir Lucic
This article studies the conditional-density equation and its pathwise transformation in local stochastic rough volatility models, with rough Heston (rHeston) as the main explicit…
Ito-Wentzell Formula and Dupire Stochastic PDE
Vladimir Lucic
Starting from the classic result of Wentzell, we derive a conditional forward equation and an associated stochastic Dupire PDE for a local-stochastic-volatility model (LSV). As an…
Unified Approach for Hedging Impermanent Loss of Liquidity Provision
Alexander Lipton, Vladimir Lucic, Artur Sepp
We develop static and dynamic approaches for hedging of the impermanent loss (IL) of liquidity provision (LP) staked at Decentralised Exchanges (DEXes) which employ Uniswap V2 and…