Sample path Large Deviations and optimal importance sampling for stochastic volatility models

Citations

Cited by:

1. Archil Gulisashvili, 2020. "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness," Papers 2002.05143, arXiv.org, revised Dec 2020.
2. Antoine Jacquier & Konstantinos Spiliopoulos, 2018. "Pathwise moderate deviations for option pricing," Papers 1803.04483, arXiv.org, revised Dec 2018.
3. Peter K. Friz & Paul Gassiat & Paolo Pigato, 2018. "Precise asymptotics: robust stochastic volatility models," Papers 1811.00267, arXiv.org, revised Nov 2020.
4. Dan Pirjol & Xiaoyu Wang & Lingjiong Zhu, 2024. "Short-maturity options on realized variance in local-stochastic volatility models," Papers 2411.02520, arXiv.org, revised Sep 2025.
5. Zorana Grbac & David Krief & Peter Tankov, 2021. "Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models," Post-Print hal-03899237, HAL.
6. Dan Pirjol & Xiaoyu Wang & Lingjiong Zhu, 2024. "Short-maturity asymptotics for VIX and European options in local-stochastic volatility models," Papers 2407.16813, arXiv.org.
7. Marc Geha & Antoine Jacquier & Žan Žurič, 2024. "Large and moderate deviations for importance sampling in the Heston model," Annals of Operations Research, Springer, vol. 336(1), pages 47-92, May.
8. Genin, Adrien & Tankov, Peter, 2020. "Optimal importance sampling for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 20-46.
9. Jacquier, Antoine & Pannier, Alexandre, 2022. "Large and moderate deviations for stochastic Volterra systems," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 142-187.
10. Carole Bernard & Zhenyu Cui & Martin Forde & Antoine Jacquier & Don McLeish & Aleksandar Mijatović, 2013. "Correction note for ‘The large-maturity smile for the Heston model’," Finance and Stochastics, Springer, vol. 17(1), pages 223-224, January.
    • Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.
11. Archil Gulisashvili, 2020. "Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model," Papers 2006.15431, arXiv.org.
12. Archil Gulisashvili, 2018. "Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions," Papers 1808.00421, arXiv.org, revised Jun 2019.
13. Dan Pirjol & Lingjiong Zhu, 2024. "Asian options for local-stochastic volatility models in the short-maturity regime," Papers 2409.08377, arXiv.org, revised Jul 2025.
14. Archil Gulisashvili, 2022. "Multivariate Stochastic Volatility Models and Large Deviation Principles," Papers 2203.09015, arXiv.org, revised Nov 2022.
15. Yun-Feng Tu & Chuan-Hsiang Han, 2025. "Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options," Papers 2511.19826, arXiv.org.
16. Adrien Genin & Peter Tankov, 2016. "Optimal importance sampling for L\'evy Processes," Papers 1608.04621, arXiv.org.
17. dos Reis, Gonçalo & Smith, Greig & Tankov, Peter, 2023. "Importance sampling for McKean-Vlasov SDEs," Applied Mathematics and Computation, Elsevier, vol. 453(C).
18. Aur'elien Alfonsi & David Krief & Peter Tankov, 2018. "Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing," Papers 1806.06883, arXiv.org.
19. Baldi, P. & Caramellino, L., 2011. "General Freidlin-Wentzell Large Deviations and positive diffusions," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1218-1229, August.
20. Antoine Jacquier & Alexandre Pannier, 2020. "Large and moderate deviations for stochastic Volterra systems," Papers 2004.10571, arXiv.org, revised Apr 2022.
21. Djellout, Hacène & Guillin, Arnaud & Samoura, Yacouba, 2017. "Estimation of the realized (co-)volatility vector: Large deviations approach," Stochastic Processes and their Applications, Elsevier, vol. 127(9), pages 2926-2960.
22. Zorana Grbac & David Krief & Peter Tankov, 2018. "Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing," Papers 1809.06153, arXiv.org.
23. Gulisashvili, Archil, 2020. "Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3648-3686.
24. Gulisashvili, Archil, 2021. "Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness," Stochastic Processes and their Applications, Elsevier, vol. 139(C), pages 37-79.
25. Marc Geha & Antoine Jacquier & Zan Zuric, 2021. "Large and moderate deviations for importance sampling in the Heston model," Papers 2111.00348, arXiv.org.
26. Aleksandar Arandjelović & Thorsten Rheinländer & Pavel V. Shevchenko, 2025. "Importance sampling for option pricing with feedforward neural networks," Finance and Stochastics, Springer, vol. 29(1), pages 97-141, January.