3 papers
q-fin.PR2026
Explicit local volatility formula for Cheyette-type interest rate models
Alexander Gairat, Vyacheslav Gorovoy, Vadim Shcherbakov
This paper addresses the approximation of the local volatility function in the Cheyette interest rate model. Its main contribution is an explicit analytical formula for approximati…
math.PR2025
A diffusion limit for Markov chains with log-linear interaction on a graph
Anatolii Puhalskii, Vadim Shcherbakov
In this paper we establish a diffusion limit for a multivariate continuous time Markov chain whose components are indexed by vertices of a finite graph. The components take values…
math.PR2024
Superdiffusive planar random walks with polynomial space-time drifts
Conrado da Costa, Mikhail Menshikov, Vadim Shcherbakov +1
We quantify superdiffusive transience for a two-dimensional random walk in which the vertical coordinate is a martingale and the horizontal coordinate has a positive drift that is…