Data Science, Digital Transformation, Risks & Complex Systems

@article{grasselli_40,

title = {The 4/2 stochastic volatility mode},

author = {Martino Grasselli},

url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2523635},

year  = {2017},

date = {2017-10-01},

journal = {Mathematical Finance},

volume = {27},

number = {4},

pages = {1013-1034},

abstract = {We introduce a new stochastic volatility model that includes, as special instances, the Heston (1993) and the 3/2 model of Heston (1997) and Platen (1997). Our model exhibits important features: first, instantaneous volatility can be uniformly bounded away from zero, and second, our model is mathematically and computationally tractable, thereby enabling an efficient pricing procedure. This called for using the Lie symmetries theory for PDEs; doing so allowed us to extend known results on Bessel processes. Finally, we provide an exact simulation scheme for the model; this is useful in view of the numerical applications.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{callegaro_19,

title = {Pricing via Quantization in Stochastic Volatility Models},

author = {Gorgia Callegaro and Lucio Fiorin and Martino Grasselli},

url = {https://www.tandfonline.com/doi/abs/10.1080/14697688.2016.1255348},

year  = {2017},

date = {2017-06-01},

journal = {Quantitative Finance},

volume = {17},

number = {6},

pages = {p855-p872},

abstract = {In this paper we apply a new methodology based on quantization to price options in stochastic volatility models. This method can be applied to any model for which an Euler scheme is available for the underlying process and it allows for pricing vanillas, as well as exotics, thanks to the knowledge of the transition probabilities for the discretized stock process. We apply the methodology to some celebrated stochastic volatility models, including the Stein and Stein (1991) model and the SABR model introduced in Hagan and Woodward (2002). A numerical exercise shows that the pricing of vanillas turns out to be accurate; in addition, when applied to some exotics like equity-volatility options, the quantization-based method overperforms by far the Monte Carlo simulation.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{amirat_1,

title = {Steady state solutions of ferrofluid flow model},

author = {Youcef Amirat and Kamel Hamdache},

url = {http://aimsciences.org//article/id/a2e59aa5-3139-4991-935d-1fce2bbae304},

year  = {2016},

date = {2016-11-01},

journal = {Communications On Pure And Applied Analysis},

volume = {15},

number = {6},

pages = {2329-2355},

abstract = {We study two models of differential equations for the stationary flow of an incompressible viscous magnetic fluid subjected to an external magnetic field. The first model, called Rosensweig's model, consists of the incompressible Navier-Stokes equations, the angular momentum equation, the magnetization equation of Bloch-Torrey type, and the magnetostatic equations. The second one, called Shliomis model, is obtained by assuming that the angular momentum is given in terms of the magnetic field, the magnetization field and the vorticity. It consists of the incompressible Navier-Stokes equation, the magnetization equation and the magnetostatic equations. We prove, for each of the differential systems posed in a bounded domain of R3 and equipped with boundary conditions, existence of weak solutions by using regularization techniques, linearization and the Schauder fixed point theorem.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{deelstra_31,

title = {The Role of the Dependence between Mortality and Interest Rates when pricing Guaranteed Annuity Options},

author = {Griselda Deelstra and Martino Grasselli and Christopher Van Weverberg},

url = {https://www.sciencedirect.com/science/article/pii/S0167668716301664?via%3Dihub},

year  = {2016},

date = {2016-11-01},

journal = {Insurance Mathematics & Economics},

volume = {71},

pages = {p205-p219},

abstract = {In this paper we investigate the consequences on the pricing of insurance contingent claims when we relax the typical independence assumption made in the actuarial literature between mortality risk and interest rate risk. Starting from the Gaussian approach of Liu et al. (2014), we consider some multifactor models for the mortality and interest rates based on more general affine models which remain positive and we derive pricing formulas for insurance contracts like Guaranteed Annuity Options (GAOs). In a Wishart affine model, which allows for a non-trivial dependence between the mortality and the interest rates, we go far beyond the results found in the Gaussian case by Liu et al. (2014), where the value of these insurance contracts can be explained only in terms of the initial pairwise linear correlation.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grasselli_42,

title = {A Flexible Spot Multiple-Curve Model},

author = {Martino Grasselli and Giulio Miglietta},

url = {https://www.tandfonline.com/doi/abs/10.1080/14697688.2015.1108521},

year  = {2016},

date = {2016-10-01},

journal = {Quantitative Finance},

volume = {16},

number = {10},

pages = {p1465-p1477},

abstract = {We propose a model for the instantaneous risk-free spot rate and for the spot LIBOR, driven by a time-homogeneous Markovian process. We introduce deterministic time-shifts in order to match any initial term-structure. By doing so, the model automatically becomes an exogenous term-structure model, in the spirit of Brigo and Mercurio (2001) who proposed this approach in the single curve case. A calibration exercise based on real data illustrates the flexibility of our approach for some typical speci fications used in the literature and in the bank industry.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{hamdache_49,

title = {Global weak solutions to a model of micropolar fluids with maxwell-cattaneo heat transfer law},

author = {Kamel Hamdache and Djamila Hamroun and Asma Louardani},

url = {http://www.sciencedirect.com/science/article/pii/S0362546X16300529},

year  = {2016},

date = {2016-07-01},

journal = {Nonlinear Analysis-Theory Methods & Applications},

volume = {142},

pages = {69-96},

abstract = {This work is devoted to the study of a system describing the dynamics of a heated micropolar fluid under the action of an applied magnetic field. The heat transfer is subjected to Maxwell-Cattaneo law instead of the usual Fourier law. Thanks to regularization and compactness methods the global existence in time of weak solutions with finite energy has been proved.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{hubert_52,

title = {Influence of Biaxial Stress on Magnetic Behavior of Dual-Phase Steel-Experiments and Modeling},

author = {Olivier Hubert and Frédérick Sorel Mballa-Mballa and Song He and Sophie Depeyre},

url = {https://ieeexplore.ieee.org/document/7372462},

year  = {2016},

date = {2016-07-01},

journal = {Ieee Transactions On Magnetics},

volume = {52},

number = {5},

pages = {1-4},

abstract = {Online magnetic nondestructive evaluation (NDE) of dual-phase (DP) steels is made on bands submitted to high multiaxial stress. Extraction of microstructural information from the measurement requires separating the effect of stress and microstructure. Coupled magnetomechanical micromagnetic modeling is relevant for that purpose. In this paper, the magnetic behavior of a DP steel under biaxial stress is carried out and compared with the modeling. It is shown that the discrepancies observed between experiments and model can be explained by the 2-D assumption.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{hamdache_48,

title = {Global existence and long time behavior of solutions to a model of ferroelectric materials},

author = {Kamel Hamdache and Djamila Hamroun},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0022247X16001177?via%3Dihub},

year  = {2016},

date = {2016-06-01},

journal = {Journal Of Mathematical Analysis And Applications},

volume = {438},

number = {2},

pages = {668-700},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{caldana_18,

title = {General closed-form basket option pricing bounds},

author = {Ruggero Caldana and Alexandro Gnoatto and Martino Grasselli},

url = {https://www.tandfonline.com/doi/abs/10.1080/14697688.2015.1073854},

year  = {2016},

date = {2016-04-01},

journal = {Quantitative Finance},

volume = {16},

number = {4},

pages = {p535-p554},

abstract = {This article presents lower and upper bounds on the prices of basket options for a general class of continuous-time financial models. The techniques we propose are applicable whenever the joint characteristic function of the vector of log-returns is known in closed-form. Moreover, the basket value is not required to be positive. We test our new bounds on different multivariate models, allowing for jumps and stochastic volatility. Numerical examples are discussed and benchmarked against Monte Carlo simulations. All bounds are general and do not require any additional assumption on the characteristic function, so our methods may be employed also to non-affine models. All bounds involve the computation of one-dimensional Fourier transforms, hence they do not suffer from the curse of dimensionality. In particular, our new lower bound turns out to be fast and accurate.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{brunel_15,

title = {Expected Credit Loss vs Credit Value Adjustment: a comparative Analysis},

author = {Vivien Brunel and Stéphane Crépey and Monique Jeanblanc},

url = {https://econpapers.repec.org/article/rbqjournl/},

year  = {2016},

date = {2016-03-01},

journal = {Bankers, Markets & Investors},

volume = {141},

pages = {p6-p18},

abstract = {The recent publication of the IFRS 9 norms related to collective provisions for non defaulted instruments has settled a new vision to banking book portfolios. In this paper we show that the IFRS 9 provision measured through the Expected Credit Loss (ECL), inspired from a market vision on loan books, is very similar to the Credit Value Adjustment (CVA) for derivative exposures. However, even if the underlying formulas are identical, the metrics and parameters are not the same. Hence, though ECL and CVA measure similar effects, they involve different modelling challenges.},

note = {https://EconPapers.repec.org/RePEc:rbq:journl:i:141:p:6-18},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{braouezec_11,

title = {Option Pricing Bounds in a Finite Market Model: A Simple Geometric Approach Using Barycentric Coordinates},

author = {Yann Braouezec and Cyril Grunspan},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0377221715007614?via%3Dihub},

year  = {2016},

date = {2016-02-01},

journal = {European Journal Of Operational Research},

volume = {249},

number = {1},

pages = {p270-p280},

abstract = {We use a simple geometric approach to obtain the bounds of a given option's contract in a finite market model, and this requires to determine a sequence of convex hulls in a multiperiod model. Our approach allows us not only to graphically visualize the option pricing bounds, but also to obtain a very simple proof of the equivalence between the existence of a particular martingale measure and the absence of arbitrage for a given option's contract.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grasselli_41,

title = {Stochastic Skew and Target Volatility Options},

author = {Martino Grasselli and Jacinto Marabel Romo},

url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/fut.21720},

year  = {2016},

date = {2016-02-01},

journal = {Journal Of Futures Markets},

volume = {26},

number = {2},

pages = {174-193},

abstract = {Target volatility options (TVO) are a new class of derivatives whose payoff depends on some measure of volatility. These options allow investors to take a joint exposure to the evolution of the underlying asset, as well as to its realized volatility. In equity options markets the slope of the skew is largely independent of the volatility level. A single-factor Heston based volatility model can generate steep skew or flat skew at a given volatility level but cannot generate both for a given parameterization. Since the payoff corresponding to TVO is a function of the joint evolution of the underlying asset and its realized variance, the consideration of stochastic skew is a relevant question for the valuation of TVO.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}