Volatility Smile Heston, SABR Nowak, Sibetz April 24, 2012

This paper deals with an extension of the so-called Black-Scholes model in which the volatility is modeled by a linear combination of the components of the solution of a

Fourthly, following the asymptotic expansion method of Watanabe, Takahashi and co-authors provide in a series of works small noise approximations of financial models (see [TY12]

Keywords: Hull & White model, functional quantization, vector quantization, Karhunen-Loève, Gaussian process, fractional Brownian motion, multifractional Brownian motion,

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We consider a backward hybrid algorithm which uses a Markov chain approximation (in particular, a “multiple jumps” tree) in the direction of the volatility and the interest rate and

From a theoretical point of view, it is also important to observe that the proposed model not only replicates the volatility patterns that have been observed in financial markets,

In this paper, we obtain asymptotic solutions for the conditional probability and the implied volatility up to the first-order with any kind of stochastic volatil- ity models using

Les ruminants sont dotés d’un extraordinaire système digestif, capable de transformer des fourrages ne possédant aucune valeur nutritive pour les humains en aliments