22 citations · 23 across the 7 of their papers we have counts for
9 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…
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…
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…