Sample path Large Deviations and optimal importance sampling for stochastic volatility models

Stochastic Processes and their Applications ◽

10.1016/j.spa.2009.10.010 ◽

2010 ◽

Vol 120 (1) ◽

pp. 66-83 ◽

Author(s):

Scott Robertson

Keyword(s):

Large Deviations ◽

Stochastic Volatility ◽

Importance Sampling ◽

Sample Path ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Sample Path Large Deviations

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Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness

Stochastic Processes and their Applications ◽

10.1016/j.spa.2021.04.012 ◽

2021 ◽

Author(s):

Archil Gulisashvili

Keyword(s):

Large Deviations ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Large deviations for some fast stochastic volatility models by viscosity methods

Discrete and Continuous Dynamical Systems ◽

10.3934/dcds.2015.35.3965 ◽

2015 ◽

Vol 35 (9) ◽

pp. 3965-3988 ◽

Author(s):

Martino Bardi ◽

◽

Annalisa Cesaroni ◽

Daria Ghilli

Keyword(s):

Large Deviations ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions

SSRN Electronic Journal ◽

10.2139/ssrn.3367829 ◽

2019 ◽

Author(s):

Archil Gulisashvili

Keyword(s):

Large Deviations ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions

Stochastic Processes and their Applications ◽

10.1016/j.spa.2019.10.005 ◽

2020 ◽

Vol 130 (6) ◽

pp. 3648-3686 ◽

Author(s):

Archil Gulisashvili

Keyword(s):

Large Deviations ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Time-Inhomogeneous Gaussian Stochastic Volatility Models: Large Deviations and Super Roughness

SSRN Electronic Journal ◽

10.2139/ssrn.3574337 ◽

2020 ◽

Author(s):

Archil Gulisashvili

Keyword(s):

Large Deviations ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2011.05.007 ◽

2012 ◽

Vol 56 (11) ◽

pp. 3105-3119 ◽

Author(s):

Tore Selland Kleppe ◽

Hans Julius Skaug

Keyword(s):

Stochastic Volatility ◽

Importance Sampling ◽

Sequential Importance Sampling ◽

Stochastic Volatility Models ◽

Volatility Models ◽

General Stochastic

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A class of risk processes with reserve-dependent premium rate: sample path large deviations and importance sampling

Queueing Systems ◽

10.1007/s11134-006-9000-y ◽

2007 ◽

Vol 55 (2) ◽

pp. 83-94 ◽

Author(s):

A. Ganesh ◽

C. Macci ◽

G. L. Torrisi

Keyword(s):

Large Deviations ◽

Importance Sampling ◽

Sample Path ◽

Premium Rate ◽

Risk Processes ◽

Sample Path Large Deviations

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An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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