Data Science, Digital Transformation, Risks & Complex Systems

@article{da_fonseca_816,

title = {Analytic Pricing of Volatility- Equity Options within Affine Models: an Efficient Conditioning Technique},

author = {José Da Fonseca and Alexandro Gnoatto and Martino Grasselli},

url = {https://www.sciencedirect.com/science/article/abs/pii/S0167637715001285},

year  = {2015},

date = {2015-06-03},

journal = {Operations Research Letters},

volume = {43},

number = {6},

pages = {601-607},

abstract = {We price for different affine stochastic volatility models some derivatives that recently appeared in the  market. These products  are characterized by payoffs depending on both stock and its volatility. We provide closed-form solution for different products and two multivariate Wishart-based stochastic volatility models. The methodology turns out to be independent of the dimension of the problem. Overall, our results highlight the great flexibility and tractability of Wishart-based stochastic volatility models to develop multivariate extensions of the Heston model.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{baldeaux_334,

title = {Pricing currency derivatives under the benchmark approach},

author = {Jan Baldeaux and Martino Grasselli and Eckhard Platen},

url = {http://www.sciencedirect.com/science/article/pii/S0378426614003847},

year  = {2015},

date = {2015-04-01},

journal = {Journal Of Banking & Finance},

volume = {53},

pages = {34-48,},

abstract = {This paper considers the realistic modelling of derivative contracts on exchange rates. We propose a stochastic volatility model that recovers not only the typically observed implied volatility smiles and skews for short dated vanilla foreign exchange options but allows one also to price payoffs in foreign currencies, lower than possible under classical risk neutral pricing, in particular, for long dated derivatives. The main reason for this important feature is the strict supermartingale property of benchmarked savings accounts under the real world probability measure, which the calibrated parameters identify under the proposed model. Using a real dataset on vanilla option quotes, we calibrate our model on a triangle of currencies and find that the risk neutral approach fails for the calibrated model, while the benchmark approach still works.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{gaudiello_341,

title = {A reduced model for the polarization in a ferroelectric thin wire},

author = {Antonio Gaudiello and Kamel Hamdache},

url = {https://link.springer.com/article/10.1007%2Fs00030-015-0348-8},

year  = {2015},

date = {2015-04-01},

journal = {Nodea-Nonlinear Differential Equations And Applications},

volume = {22},

number = {6},

pages = {1883-1896},

abstract = {In this paper, starting from a non-convex and nonlocal 3Dvariational model for the electric polarization in a ferroelectric material, via an asymptotic process we obtain a rigorous 1D-variational model for a thin wire.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{chiarella_420,

title = {Pricing Range Notes within Wishart Affine Models},

author = {Carl Chiarella and José Da Fonseca and Martino Grasselli},

url = {http://www.sciencedirect.com/science/article/pii/S0167668714000948},

year  = {2014},

date = {2014-09-01},

journal = {Insurance Mathematics & Economics},

volume = {58},

number = {1},

pages = {193-203},

abstract = {We provide analytic pricing formulas for Fixed and Floating Range Accrual Notes within the multifactor Wishart affine framework which extends significantly the standard affine model. Using estimates for three short rate models, two of which are based on the Wishart process whilst the third one belongs to the standard affine framework, we price these structured products using the FFT methodology. Thanks to the Wishart tractability the hedge ratios are also easily computed. As the models are estimated on the same dataset, our results illustrate how the fit discrepancies (meaning differences in the likelihood functions) between models translate in terms of derivatives pricing errors, and we show that the models can produce different price evolutions for the Range Accrual Notes. The differences can be substantial and underline the importance of model risk both from a static and dynamic perspective. These results are confirmed by an analysis performed at the hedge ratios level.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{chareyron_342,

title = {Patrolling TripAdvisor: Re-purposing large data-sets in Tourism research},

author = {Gaël Chareyron and Bérangère Branchet and Jérôme Da Rugna and Sébastien Jacquot},

url = {https://www.espacestemps.net/articles/etudier-tripadvisor/},

year  = {2014},

date = {2014-08-01},

journal = {EspacesTemps.net},

keywords = {},

pubstate = {online},

tppubtype = {article}

}

@article{gnoatto_426,

title = {An affine multi-currency model with stochastic volatility and stochastic interest rates},

author = {Alexandro Gnoatto and Martino Grasselli},

url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2226499},

year  = {2014},

date = {2014-08-01},

journal = {Siam Journal On Financial Mathematics},

volume = {5},

pages = {493-531},

abstract = {We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be efficiently performed through the FFT methodology thanks to the affine property of the model. Our framework is also able to describe many non trivial links between FX rates and interest rates: a calibration exercise highlights the ability of the model to t simultaneously FX implied volatilities while being coherent with interest rate products.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{da_fonseca_421,

title = {Estimating the Wishart Affi ne Stochastic Correlation Model using the Empirical Characteristic Function},

author = {José Da Fonseca and Martino Grasselli and Florian Ielpo},

url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1054721},

year  = {2014},

date = {2014-06-01},

journal = {Studies In Nonlinear Dynamics And Econometrics},

volume = {18},

number = {3},

pages = {253-289},

abstract = {Abstract: This paper provides the first estimation strategy for the Wishart Affine Stochastic Correlation (WASC) model. We provide elements showing that the use of empirical characteristic function-based estimates is advisable as this function is exponential affine in the WASC case. We use a GMM estimation strategy with a continuum of moment conditions based on the characteristic function. We present the estimation results obtained using a dataset of equity indexes. The WASC model captures most of the known stylized facts associated with financial markets, including leverage and asymmetric correlation effects.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{gnoatto_427,

title = {The explicit Laplace transform for the Wishart process},

author = {Alexandro Gnoatto and Martino Grasselli},

url = {https://www.cambridge.org/core/journals/journal-of-applied-probability/article/explicit-laplace-transform-for-the-wishart-process/96D33CAE7D09562034079343F66FFBCF},

year  = {2014},

date = {2014-05-01},

journal = {Journal Of Applied Probability},

volume = {51},

number = {3},

pages = {640-656},

abstract = {We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral, which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation-of-constants method, the linearization of the matrix Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_4347,

title = {Quantizations of the Witt algebra and of simple Lie algebras in characteristic p},

author = {Cyril Grunspan},

url = {https://doi.org/10.1016/j.jalgebra.2004.04.016},

year  = {2004},

date = {2004-10-01},

journal = {Journal Of Algebra},

volume = {280},

number = {1},

pages = {145-161},

abstract = {We explicitly quantize the Witt algebra in characteristic 0 equipped with its Lie bialgebra structures discovered by Taft. Then, we study the reduction modulo p of our formulas. This gives P - 1  families of polynomial noncocommutative deformations of a restricted enveloping algebra of a simple Lie algebra in characteristic p (of Cartan type). In particular, this yields new families of noncommutative and noncocommutative Hopf algebras of dimension in PP char p.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_4349,

title = {Hopf-Galois Systems and Kashiwara Algebras},

author = {Cyril Grunspan},

url = {https://doi.org/10.1081/AGB-120038639},

year  = {2004},

date = {2004-09-01},

journal = {Communications In Algebra},

volume = {32},

number = {9},

pages = {3373-3389},

abstract = {This article is made up with two parts. In the first part, using a recent result of Schauenburg, one generalizes to the case when objects are faithfully flat over the ground ring, the full equivalence between the notions of Hopf-Galois objects and Hopf-Galois systems. In this last description, one gives explicitly an inverse for a Hopf-Galois object T together with its generalized antipode. In the second part of the article, one shows that the Kashiwara algebras introduced by Kashiwara in his study of crystal bases form Hopf-Galois systems under the coaction of a quantized enveloping algebra of a Kac-Moody algebra. Their classical limits are examples of Sridharan algebras.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}

@article{grunspan_4348,

title = {Quantum torsors},

author = {Cyril Grunspan},

url = {https://doi.org/10.1016/S0022-4049(03)00066-5},

year  = {2003},

date = {2003-11-01},

journal = {Journal Of Pure And Applied Algebra},

volume = {184},

number = {2-3},

pages = {229-255},

abstract = {We present a quantum analogue of the ?parallelogram? axioms for torsors (J. Reine Angew. Math. 160 (1929) 199). A quantum torsor is an algebra equipped with a triple coproduct and with an algebra endomorphism playing the role of the square of the antipode in a Hopf algebra. When the ground ring is a field or a ring of formal series, we prove that any quantum torsor is equipped with a natural structure of bicomodule-algebra. In this framework, we reformulate the rules for the composition of torsors and we define an invariant group associated with any Hopf algebra. We then discuss the relation of our approach with the theory of Hopf-Galois extensions and with the theory of Hopf-Galois systems (a quantum analogue of the ?groupoid? formulation of torsor axioms). Finally, we give a general categorical reformulation for faithfully flat Hopf-Galois extensions over a ring.},

keywords = {},

pubstate = {published},

tppubtype = {article}

}