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In this paper we propose to use a combination of regular and singular perturbations to analyze parabolic PDEs that arise in the context of pricing options when the volatility is a stochastic process that varies on several characteristic time scales. The classical Black-Scholes formula gives the price of call options when the underlying is a geometric(More)
After the celebrated Black-Scholes formula for pricing call options under constant volatility, the need for more general nonconstant volatility models in financial mathematics has been the motivation of numerous works during the Eighties and Nineties. In particular, a lot of attention has been paid to stochastic volatility models where the volatility is(More)
In this paper, we introduce the use of interacting particle systems in the computation of probabilities of simultaneous defaults in large credit portfolios. The method can be applied to compute small historical as well as risk neutral probabilities. It only requires that the model be based on a background Markov chain for which a simulation algorithm is(More)
We propose a multi-scale stochastic volatility model in which a fast mean-reverting factor of volatility is built on top of the Heston stochastic volatility model. A singular pertubative expansion is then used to obtain an approximation for European option prices. The resulting pricing formulas are semi-analytic, in the sense that they can be expressed as(More)
In this paper, we study the Heston stochastic volatility model in the regime where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. We derive a large deviation principal and compute the rate function by a precise study of the moment generating function and its asymptotic. We then obtain asymptotic(More)
This paper investigates the pressure eld generated at the bottom of a high-contrast randomly layered slab by an acoustical pulse emitted at the surface of the slab. This analysis takes place in the framework introduced by Asch, Kohler, Papanicolaou, Postel and White 1] where the incident pulse wave length is long compared to the correlation length of the(More)
Refocusing for time reversed waves propagating in disordered media has recently been observed experimentally and studied mathematically. This surprising effect has a great potential of applications in domains such as medical imaging, underwater acoustics, wireless communications among others. Time refocusing for one-dimensional acoustic waves is now(More)
The skew effect in market implied volatility can be reproduced by option pricing theory based on stochastic volatility models for the price of the underlying asset. Here we study the performance of the calibration of the S&P 500 implied volatility surface using the asymptotic pricing theory under fast mean-reverting stochastic volatility described in [7].(More)
A time-reversal mirror is, roughly speaking, a device which is capable of receiving a signal in time, keeping it in memory and sending it back into the medium in the reversed direction of time. A brief mathematical review of the time-reversal theory is presented in the context of the linear shallow water equations. In particular an explicit expression is(More)