This paper aims at transferring the philosophy behind Heath–Jarrow–Morton to the
modelling of call options with all strikes and maturities. Contrary to the approach by …

We propose a new model for the coherent forecasting of both the implied volatility surfaces
and the underlying asset returns. In the spirit of Guyon and Lekeufack (2023) who are …

We model the dynamics of asset prices and associated derivatives by consideration of the
dynamics of the conditional probability density process for the value of an asset at some …

We study option pricing and hedging with uncertainty about a Black–Scholes reference
model which is dynamically recalibrated to the market price of a liquidly traded vanilla …

In this paper, we present a method for constructing a (static) portfolio of co-maturing
European options whose price sign is determined by the skewness level of the associated …

In this paper, we implement and test a market-based model for European-type options,
based on the tangent Lévy models proposed in [R. Carmona and S. Nadtochiy, Int. J …

In this thesis, we deal with the problem of time-consistent, arbitrage-free modelling of
derivatives' prices together with their respective underlyings. This is a well-known and …

In this thesis, we study the issue of pricing discretely-sampled variance swaps under
stochastic volatility and stochastic interest rate. In particular, our modeling framework …

Traditional pricing models, or martingale models, are based on the dynamics of the
underlying stock price under some martingale measure Q, eg as in the Black-Scholes …

We study the HJM approach which was originally introduced in the fixed income market by
David Heath, Robert Jarrow and Andrew Morton and later was implemented in the case of …