SIAM Journal on Financial Mathematics

This paper addresses the joint calibration problem of SPX options and VIX options or futures. We show that the problem can be formulated as a semimartingale optimal transport problem under a finite number of discrete constraints, in the spirit of [Guo, ...

We develop a method to study the implied volatility of exotic underlyings, with special focus on volatility derivatives such as VIX options. Remarkably, our approach is flexible enough to be applied to any underlying, subject to mild technical conditions. ...

Fire sales are among the major drivers of market instability in modern financial systems. Due to iterated distressed selling and the associated price impact, initial shocks to some institutions can be amplified dramatically through the network induced by ...

The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal strategies in the regime ...

Following the risk-taking model of Seel and Strack, $n$ players decide when to stop privately observed Brownian motions with drift and absorption at zero. They are then ranked according to their level of stopping and paid a rank-dependent reward. We study ...

In this paper, we propose a local discontinuous Galerkin (LDG) method for backward stochastic partial differential equations (BSPDEs), which is a high-order numerical scheme. We prove the $L^2$-stability of the numerical scheme. For the superparabolic BSPDEs,...

In this paper, we study the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic partial ...

We present a reinforcement learning (RL) approach for robust optimization of risk-aware performance criteria. To allow agents to express a wide variety of risk-reward profiles, we assess the value of a policy using rank dependent expected utility (RDEU). ...

We fully characterize the absence of butterfly arbitrage in the stochastic volatility inspired (SVI) formula for implied total variance proposed by Gatheral in 2004. The main ingredient is an intermediate characterization of the necessary condition for no ...

We show that there exists a profitable cross-border trading strategy for an agent who trades electricity in the European electricity network. Data of the European markets are employed to show how electricity prices in all locations of the network are ...

Given an intertemporal optimization problem over a time interval $[t_0,T]$ and a control plan associated to it, we introduce the four notions of local and global tail optimality of the control plan and local and global preferences consistency of the ...

We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit based on the exponentially weighted average of her past consumption rate, and in which she invests in a Black--Scholes market. The individual ...

In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues. Among the numerous problems addressed, the optimal execution of large orders is probably the one that has attracted the most research works, ...

This paper introduces an efficient implementation scheme for Kusuoka approximation for a stochastic differential equation (SDE) driven by Brownian motion. A second order weak approximation is shown for Lipschitz continuous test functions under the UFG ...

We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options, and we compute their nontrivial scaling limit for a vanishing price impact which is inversely proportional to the ...

We give an axiomatic foundation to $\Lambda$-quantiles, a family of generalized quantiles introduced in [M. Frittelli, M. Maggis, and I. Peri, Math. Finance, 24 (2014), pp. 442--463] under the name Lambda Value at Risk. Under mild assumptions, we show that ...