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A remark on Gatheral's 'most-likely path approximation' of implied volatility
remark on Gatheral's 'most-likely path implied volatility
2010/11/2
We give a rigorous proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we fix the problem of a circular defi...
Strong Taylor approximation of stochastic differential equations and application to the Lévy LIBOR model
LIBOR models stochastic differential equations L´ evy pro-cesses perturbation Taylor approximation caps, swaptions
2010/11/1
In this article we develop a method for the strong approx-imation of stochastic differential equations (SDEs) driven by L´evy pro-cesses or general semimartingales. The main ingredients of our m...
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach
Maximum-Likelihood Estimation Discretely-Sampled Diffusions A Closed-Form Approximation Approach
2014/3/13
Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach.