10 citations · 38 across the 22 of their papers we have counts for
4 papers · 1 filter
Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface
Dan Pirjol, Lingjiong Zhu
We propose a novel time discretization for the log-normal SABR model which is a popular stochastic volatility model that is widely used in financial practice. Our time discretizati…
Explosion in the quasi-Gaussian HJM model
Dan Pirjol, Lingjiong Zhu
We study the explosion of the solutions of the SDE in the quasi-Gaussian HJM model with a CEV-type volatility. The quasi-Gaussian HJM models are a popular approach for modeling the…
Small-noise limit of the quasi-Gaussian log-normal HJM model
Dan Pirjol, Lingjiong Zhu
Quasi-Gaussian HJM models are a popular approach for modeling the dynamics of the yield curve. This is due to their low dimensional Markovian representation, which greatly simplifi…
Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model
Dan Pirjol, Lingjiong Zhu
We consider the stochastic volatility model , with uncorrelated standard Brownian motions. This is a special case of the Hull-Whit…