no code implementations • 11 Dec 2019 • Elisa Alos, Frido Rolloos, Kenichiro Shiraya
In this paper, Malliavin calculus is applied to arrive at exact formulas for the difference between the volatility swap strike and the zero vanna implied volatility for volatilities driven by fractional noise.
no code implementations • 30 Jul 2019 • Elisa Alos, Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerning the solvability of the issuer.
1 code implementation • 24 Jan 2018 • Elisa Alos, Rupak Chatterjee, Sebastian Tudor, Tai-Ho Wang
The same formula also suggests an approximation formula for the price of target volatility option in small time by the technique of freezing the coefficient.
Computational Finance Mathematical Finance
