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Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
David Krief / Peter Tankov / Zorana Grbac
monte carlo simulation / option pricingResource overview

Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

Paper2021

by David Krief, Peter Tankov, Zorana Grbac

Tags
monte carlo simulationoption pricingstochastic processes

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Suggested foundations for volatility models and surfaces and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Conditional Expectation

    Understand what it means to condition on current information.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

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Explore Advanced Derivatives and Exotic Options Explore Derivatives Pricing and Computational Finance

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