The 2007 subprime crisis has induced a persistent disconnection between the LIBOR derivative markets of different tenors and the OIS swap market. Commonly proposed explanations for the corresponding spreads are a combination of credit risk and liquidity risk. However in these explanations the...

Deep learning for option pricing has emerged as a novel methodology for fast computations with applications in calibration and computation of Greeks. However, many of these approaches do not enforce any no-arbitrage conditions, and the subsequent local volatility surface is never considered. In...

It is a widely recognized fact that risk-reversals play a central role in the pricing of derivatives in foreign exchange markets. It is also known that the values of risk-reversals vary stochastically with time. In this paper we introduce a stochastic volatility model with jumps and local...