4 citations · 5 across the 5 of their papers we have counts for
8 papers
A Distributional Framework for Behavioral Characterization and Risk Management of Large Language Models
David García-Lorite, Raul Merino
Large language models are stochastic by nature. Repeated executions under the same experimental conditions may produce different responses. We propose a framework that can be appli…
Watanabe's expansion: A Solution for the convexity conundrum
David García-Lorite, Raul Merino
In this paper, we present a new method for pricing CMS derivatives. We use Mallaivin's calculus to establish a model-free connection between the price of a CMS derivative and a qua…
Convexity adjustments à la Malliavin
David García-Lorite, Raul Merino
In this paper, we develop a novel method based on Malliavin calculus to find an approximation for the convexity adjustment for various classical interest rate products. Malliavin c…
A fractional model for the COVID-19 pandemic: Application to Italian data
Elisa Alòs, Maria Elvira Mancino, Raúl Merino +1
We provide a probabilistic SIRD model for the COVID-19 pandemic in Italy, where we allow the infection, recovery and death rates to be random. In particular, the underlying random…
Decomposition formula for rough Volterra stochastic volatility models
Raul Merino, Jan Pospíšil, Tomáš Sobotka +2
The research presented in this article provides an alternative option pricing approach for a class of rough fractional stochastic volatility models. These models are increasingly p…
Decomposition formula for jump diffusion models
Raul Merino, Jan Pospíšil, Tomáš Sobotka +1
In this paper we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an e…
Higher order approximation of call option prices under stochastic volatility models
Archil Gulisashvili, Raúl Merino, Marc Lagunas +1
In the present paper, a decomposition formula for the call price due to Alòs is transformed into a Taylor type formula containing an infinite series with stochastic terms. The new…
About the decomposition of pricing formulas under stochastic volatility models
Raul Merino, Josep Vives
We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model extending the decomposition obtained by E. Alòs in [2] for the Heston mo…