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07/26/2021
Robustness and sensitivity analyses for rough Volterra stochastic volatility models
In this paper we perform robustness and sensitivity analysis of several ...
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04/30/2021
A note on a PDE approach to option pricing under xVA
In this paper we study partial differential equations (PDEs) that can be...
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12/13/2019
Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure
In this paper we perform robustness and sensitivity analysis of several ...
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12/13/2019
Solution of option pricing equations using orthogonal polynomial expansion
In this paper we study both analytic and numerical solutions of option p...
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10/01/2019