Liquidity-free implied volatilities: an approach using conic finance

no code implementations • 22 Oct 2021 • Matteo Michielon, Asma Khedher, Peter Spreij

We consider the problem of calculating risk-neutral implied volatilities of European options without relying on option mid prices but solely on bid and ask prices.

From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations

no code implementations • 14 Aug 2021 • Matteo Michielon, Asma Khedher, Peter Spreij

Risk-neutral default probabilities can be implied from credit default swap (CDS) market quotes.

Affine pure-jump processes on positive Hilbert-Schmidt operators

no code implementations • 18 Dec 2020 • Sonja Cox, Sven Karbach, Asma Khedher

The class of processes we consider is an infinite dimensional analogue of the affine processes in the space of positive semi-definite and symmetric matrices studied in Cuchiero et al. [Ann.

Probability 60-XX, 60J25, 60J76