We consider the joint SPX & VIX calibration within a general class of Gaussian polynomial
volatility models in which the volatility of the SPX is assumed to be a polynomial function of a …

Since we will never really know why the prices of financial assets move, we should at least
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …

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We propose a new method for solving optimal stopping problems (such as American option
pricing in finance) under minimal assumptions on the underlying stochastic process X. We …

We establish a comprehensive sample path large deviation principle (LDP) for log-price
processes associated with multivariate time-inhomogeneous stochastic volatility models …

We introduce a family of random measures MH, T (dt), namely log S-fBM, such that, for H> 0,
MH, T (dt)= e ω H, T (t) dt where ω H, T (t) is a Gaussian process that can be considered as a …

Abstract Single-file diffusion (SFD), prevalent in many chemical and biological processes,
refers to the one-dimensional motion of interacting particles in pores which are so narrow …

In this work, we introduce a novel pricing methodology in general, possibly non‐Markovian
local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics …

Several asymptotic results for the implied volatility generated by a rough volatility model
have been obtained in recent years (notably in the small‐maturity regime), providing a better …

In Friz et al.[Precise asymptotics for robust stochastic volatility models. Ann. Appl. Probab,
2021, 31 (2), 896–940], we introduce a new methodology to analyze large classes of …