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q-fin.CP2019★ 1 cited
A Probabilistic Approach to Nonparametric Local Volatility
Martin Tegnér, Stephen Roberts
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed opti…
q-fin.CP2017
Optimal client recommendation for market makers in illiquid financial products
Dieter Hendricks, Stephen J. Roberts
The process of liquidity provision in financial markets can result in prolonged exposure to illiquid instruments for market makers. In this case, where a proprietary position is no…