Listagem por autor "Saporito, Yuri Fahham"
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Functional itô calculus, path-dependence and the computation of greeks
2015Dupire’s functional Itˆo calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we ... -
Functional Itô calculus, path-dependence and the computation of Greeks
2017-12Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ... -
The functional Meyer–Tanaka formula
2017The functional Itô formula, firstly introduced by Bruno Dupire for continuous semimartingales, might be extended in two directions: different dynamics for the underlying process and/or weaker assumptions on the regularity ... -
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
2018A parsimonious generalization of the Heston model is proposed where the volatility-of-volatility is assumed to be stochastic. We follow the perturbation technique of Fouque et al [Multiscale Stochastic Volatility for Equity, ... -
Stochastic control and differential games with path-dependent controls
2017-03-05In this paper we consider the functional Itˆo calculus framework to find a path- dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems with path-dependence in the controls. We also prove ...
