Peter Leoni

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This paper introduces the concept of implied Lévy volatility, hereby extending the intuitive Black-Scholes implied volatility into a more general context. More precisely, Lévy implied time and space volatility are introduced and a study of the shape of implied Lévy volatilities is made. Model performance is studied by analyzing delta-hedging strategies for(More)
The paper presents an application of the Variance Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting. Several calibration procedures are discussed and applied to examples. In particular , we focus on the pricing differences for several exotic structures between the(More)
We propose a lattice model for the secondary structure of RNA based on a self-interacting two-tolerant trail. Self-avoidance and pseudoknots are taken into account. We investigate a simple version of the model in which the native state of RNA consists of just one hairpin. Using exact arguments and Monte Carlo simulations we determine the phase diagram for(More)
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