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 model-independent and dynamic model-dependent approaches for hedging of the impermanent loss (IL) of liquidity provision (LP) staked at Decentralised Exchanges (D…