35 citations · 132 across the 28 of their papers we have counts for
29 papers
Pricing options on illiquid assets using liquid market benchmarks: an application to energy markets
Federico Aluigi, Lucia Caramellino, Paolo Pigato +1
The Gasoil options market is illiquid, making it difficult to construct its implied volatility surface directly. However, it is closely linked to the highly liquid Brent options ma…
Ergodic approximation for the invariant distribution: An abstract framework for law-dependent dynamics
Aurélien Alfonsi, Vlad Bally, Lucia Caramellino +1
This paper studies the approximation of invariant distributions for a broad class of law-dependent dynamics, including McKean-Vlasov stochastic differential equations and Boltzmann…
Fokker-Planck equations on homogeneous Lie groups and probabilistic counterparts
Lucia Caramellino, Cristian Mendico
We address the well-posedness of subelliptic Fokker-Planck equations arising from stochastic control problems, as well as the properties of the associated diffusion processes. Here…
Convergence in Total Variation for nonlinear functionals of random hyperspherical harmonics
Lucia Caramellino, Giacomo Giorgio, Maurizia Rossi
Random hyperspherical harmonics are Gaussian Laplace eigenfunctions on the unit -dimensional sphere (). We study the convergence in Total Variation distance for their no…
Regularization lemmas and convergence in total variation
Vlad Bally, Lucia Caramellino, Guillaume Poly
We provide a simple abstract formalism of integration by parts under which we obtain some regularization lemmas. These lemmas apply to any sequence of random variables whic…
Transfer of regularity for Markov semigroups
Vlad Bally, Lucia Caramellino
We study the regularity of a Markov semigroup , that is, when for a suitable smooth function . This is done by transferring the regula…
Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusions with application to the Bates model
Maya Briani, Lucia Caramellino, Giulia Terenzi
We study the rate of weak convergence of Markov chains to diffusion processes under suitable but quite general assumptions. We give an example in the financial framework, applying…
Non universality for the variance of the number of real roots of random trigonometric polynomials
Vlad Bally, Lucia Caramellino, Guillaume Poly
In this article, we consider the following family of random trigonometric polynomials for a given sequence of i.i.d. random…
Total variation distance between stochastic polynomials and invariance principles
Vlad Bally, Lucia Caramellino
The goal of this paper is to estimate the total variation distance between two general stochastic polynomials. As a consequence one obtains an invariance principle for such polynom…
Diffusions under a local strong Hörmander condition. Part II: tube estimates
Vlad Bally, Lucia Caramellino, Paolo Pigato
We study lower and upper bounds for the probability that a diffusion process in remains in a tube around a skeleton path up to a fixed time. We assume that the diffu…
Diffusions under a local strong Hörmander condition. Part I: density estimates
Vlad Bally, Lucia Caramellino, Paolo Pigato
We study lower and upper bounds for the density of a diffusion process in in a small (but not asymptotic) time, say . We assume that the diffusion coefficients…
An Invariance Principle for Stochastic Series II. Non Gaussian Limits
Vlad Bally, Lucia Caramellino
We study the convergence in total variation distance for series of the form whe…
Convergence in distribution norms in the CLT for non identical distributed random variables
Vlad Bally, Lucia Caramellino, Guillaume Poly
We study the convergence in distribution norms in the Central Limit Theorem for non identical distributed random variables that is $$ \varepsilon_{n}(f):={\mathbb{E}}\Big(f\Big(\fr…
Numerical stability of a hybrid method for pricing options
Maya Briani, Lucia Caramellino, Giulia Terenzi +1
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of…
An invariance principle for stochastic series I. Gaussian limits
Vlad Bally, Lucia Caramellino
We study invariance principles and convergence to a Gaussian limit for stochastic series of the form $S(c,Z)=\sum_{m=1}^{\infty }\sum_{α_{1}<...<α_{m}}c(α_{1},...,α_{m})\prod_{i=1}…
A hybrid tree/finite-difference approach for Heston-Hull-White type models
M. Briani, L. Caramellino, A. Zanette
We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d…
On Sharp Large Deviations for the bridge of a general Diffusion
Paolo Baldi, Lucia Caramellino, Maurizia Rossi
We provide sharp Large Deviation estimates for the probability of exit from a domain for the bridge of a -dimensional general diffusion process , as the conditioning time ten…
Convergence and regularity of probability laws by using an interpolation method
V. Bally, L. Caramellino
In [18] Fournier and Printems establish a methodology which allows to prove the absolute continuity of the law of the solution of some stochastic equations with Hölder continuous c…
Asymptotic development for the CLT in total variation distance
Vlad Bally, Lucia Caramellino
The aim of this paper is to study the asymptotic expansion in total variation in the Central Limit Theorem when the law of the basic random variable is locally lower-bounded by the…
Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion
Paolo Baldi, Lucia Caramellino, Maurizia Rossi
We provide Large Deviation estimates for the bridge of a -dimensional general diffusion process as the conditioning time tends to and apply these results to the evaluation o…
On the distance between probability density functions
Vlad Bally, Lucia Caramellino
We give estimates of the distance between the densities of the laws of two functionals and on the Wiener space in terms of the Malliavin-Sobolev norm of We actually…
A hybrid approach for the implementation of the Heston model
Maya Briani, Lucia Caramellino, Antonino Zanette
We propose a hybrid tree-finite difference method in order to approximate the Heston model. We prove the convergence by embedding the procedure in a bivariate Markov chain and we s…
A robust tree method for pricing American options with CIR stochastic interest rate
Elisa Appolloni, Lucia Caramellino, Antonino Zanette
We propose a robust and stable lattice method which permits to obtain very accurate American option prices in presence of CIR stochastic interest rate without any numerical restric…
Regularity of probability laws by using an interpolation method
Vlad Bally, Lucia Caramellino
We study the problem of the existence and regularity of a probability density in an abstract framework based on a "balancing" with approximating absolutely continuous laws. Typical…