#### Filter Results:

#### Publication Year

2000

2015

#### Publication Type

#### Co-author

#### Publication Venue

#### Key Phrases

Learn More

It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment s * can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility at large strikes: σBS(k, T) 2 T ∼ Ψ(s * − 1) × k (Roger Lee's moment formula). Motivated by recent " tail-wing "… (More)

Signal transducer and activator of transcription (STAT) proteins are latent cytoplasmic transcription factors that become activated in response to stimulation by various cytokines. Recently a new family of five structurally related proteins, called PIAS (Protein Inhibitor of Activated STAT) has been identified as potentially important downregulators of this… (More)

The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex monetary measures of risk. In particular, we make use of indifference… (More)

We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries in funding, repo and collateral rates, as well as for early contract termination due to counterparty credit risk. We show the existence of a unique classical solution to the PDE by… (More)

We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive a nonlinear backward stochastic differential equation (BSDE) associated with the replicating portfolios of long and short positions in the… (More)

- Maxim Bichuch, Stephan Sturm
- Finance and Stochastics
- 2014

We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function g of the terminal wealth. The manager's own utility function U is assumed to be smooth and strictly concave, however the resulting utility function U • g fails to be concave. As a… (More)

- Mathias Beiglböck, Peter Friz, Stephan Sturm
- SIAM J. Financial Math.
- 2011

We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counterexample to a widespread conjecture is given.

- ‹
- 1
- ›