3 papers
q-fin.CP2026
Pricing options on illiquid assets using liquid market benchmarks: an application to energy markets
Federico Aluigi, Lucia Caramellino, Paolo Pigato +1
The Gasoil options market is illiquid, making it difficult to construct its implied volatility surface directly. However, it is closely linked to the highly liquid Brent options ma…
math.PR2026
Ergodic approximation for the invariant distribution: An abstract framework for law-dependent dynamics
Aurélien Alfonsi, Vlad Bally, Lucia Caramellino +1
This paper studies the approximation of invariant distributions for a broad class of law-dependent dynamics, including McKean-Vlasov stochastic differential equations and Boltzmann…
math.AP2024
Fokker-Planck equations on homogeneous Lie groups and probabilistic counterparts
Lucia Caramellino, Cristian Mendico
We address the well-posedness of subelliptic Fokker-Planck equations arising from stochastic control problems, as well as the properties of the associated diffusion processes. Here…