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Analytical conversion between implied volatilities based on different dividend models

The journal of computational finance, 2022-12

2022

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Boundary conditions for computing densities in hybrid models via PDE methods

Stochastics (Abingdon, Eng. : 2005), 2012-10, Vol.84 (5-6), p.705-718

Lucic, Vladimir

2012

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On the Innovations Conjecture of Nonlinear Filtering with Dependent Data

Electronic journal of probability, 2008-01, Vol.13 (none)

2008

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A (More) Direct Link between Mills' Ratio and Hermite Polynomials

SSRN Electronic Journal, 2023

Lucic, Vladimir

2023

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A General Moment Formula

SSRN Electronic Journal

Lucic, Vladimir

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Support Tensor Machine for Financial Forecasting

ICASSP 2019 - 2019 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), 2019, p.8152-8156

2019

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A Variation on the Theme of Carr-Pelts

SSRN Electronic Journal

Lucic, Vladimir

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BTC Inverse Call and the Standard FX Framework

SSRN Electronic Journal

Lucic, Vladimir

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On Singularities in the Heston Model

Large Deviations and Asymptotic Methods in Finance, 2015, Vol.110, p.439-448

2015

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Another Look at the Log Contract

SSRN Electronic Journal

Lucic, Vladimir

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Normalizing volatility transforms and general parameterization of volatility smile

SSRN Electronic Journal

Lucic, Vladimir

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Valuation and hedging of cryptocurrency inverse options: with backtest simulations using Deribit options data

SSRN Electronic Journal, 2023

2023

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Exercises in Stochastic Analysis

SSRN Electronic Journal

Lucic, Vladimir

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Convergence of Nonlinear Filters for Randomly Perturbed Dynamical Systems

Applied mathematics & optimization, 2003-09, Vol.48 (2), p.93-128

2003

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On Uniqueness of Solutions for the Stochastic Differential Equations of Nonlinear Filtering

The Annals of applied probability, 2001-02, Vol.11 (1), p.182-209, Article 182

2001

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Volatility Notes

SSRN Electronic Journal

Lucic, Vladimir

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Optimal Option Market Making and Volatility Arbitrage

SSRN Electronic Journal, 2024

2024

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Non-Parametric Local Volatility Swaption Formula Revisited

SSRN Electronic Journal

Lucic, Vladimir

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Karamata Method and the Maximum of Sums of Independent Random Variables

SSRN Electronic Journal

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Volatility Interpolation and Yosida Approximation

SSRN Electronic Journal

Lucic, Vladimir

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On nonlinear state feedback controllers for persistent disturbance rejection

Systems & control letters, 2000-09, Vol.41 (1), p.1-8

2000

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Boundary Conditions for Computing Densities in Hybrid Models via PDE Methods

SSRN Electronic Journal

Lucic, Vladimir

Volltextzugriff (PDF)

On Singularities in the Heston Model

SSRN Electronic Journal

Lucic, Vladimir

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Internal behaviour provided by nonlinear l1-optimal controllers

Systems & control letters, 2000-08, Vol.40 (5), p.305-315

2000

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On uniqueness and weak convergence of solutions for the stochastic differential equations of nonlinear filtering

Lucic, Vladimir

2001

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Analytical conversion between implied volatilities based on different dividend models

Boundary conditions for computing densities in hybrid models via PDE methods

On the Innovations Conjecture of Nonlinear Filtering with Dependent Data

A (More) Direct Link between Mills' Ratio and Hermite Polynomials

A General Moment Formula

Support Tensor Machine for Financial Forecasting

A Variation on the Theme of Carr-Pelts

BTC Inverse Call and the Standard FX Framework

On Singularities in the Heston Model

Another Look at the Log Contract

Normalizing volatility transforms and general parameterization of volatility smile

Valuation and hedging of cryptocurrency inverse options: with backtest simulations using Deribit options data

Exercises in Stochastic Analysis

Convergence of Nonlinear Filters for Randomly Perturbed Dynamical Systems

On Uniqueness of Solutions for the Stochastic Differential Equations of Nonlinear Filtering

Volatility Notes

Optimal Option Market Making and Volatility Arbitrage

Non-Parametric Local Volatility Swaption Formula Revisited

Karamata Method and the Maximum of Sums of Independent Random Variables

Volatility Interpolation and Yosida Approximation

On nonlinear state feedback controllers for persistent disturbance rejection

Boundary Conditions for Computing Densities in Hybrid Models via PDE Methods

On Singularities in the Heston Model

Internal behaviour provided by nonlinear l1-optimal controllers

On uniqueness and weak convergence of solutions for the stochastic differential equations of nonlinear filtering

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