3 papers
q-fin.PR2019
Brexit Risk Implied by the SABR Martingale Defect in the EUR-GBP Smile
Petteri Piiroinen, Lassi Roininen, Martin Simon
We construct a data-driven statistical indicator for quantifying the tail risk perceived by the EURGBP option market surrounding Brexit-related events. We show that under lognormal…
math.AP2015
Probabilistic Interpretation of the Calderón Problem
Petteri Piiroinen, Martin Simon
In this paper, we use the theory of symmetric Dirichlet forms to give a probabilistic interpretation of Calderón's inverse conductivity problem in terms of reflecting diffusion pro…
math.AP2015
From Feynman-Kac Formulae to Numerical Stochastic Homogenization in Electrical Impedance Tomography
Petteri Piiroinen, Martin Simon
In this paper, we use the theory of symmetric Dirichlet forms to derive Feynman-Kac formulae for the forward problem of electrical impedance tomography with possibly anisotropic, m…