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Sina Nejad

Publications and source records attributed to Sina Nejad.

3 recordsLinked to original sources

Convergence to closed-form distribution for the backward $SLE_{\kappa}$ at some random times and the phase transition at $\kappa=8$

We study a one-dimensional SDE that we obtain by performing a random time change of the backward Loewner dynamics in $\mathbb{H}$. The stationary measure for this SDE has a closed-form expression. We show the convergence towards its stationary measure for this SDE, in the sense of random ergodic averages. The precise formula of the density of the stationary law gives a phase transition at the value $\kappa=8$ from integrability to non-integrability, that happens at the same value of $\kappa$ as the change in behavior of the $SLE_{\kappa}$ trace from non-space filling to space-filling curve. Using convergence in total variation for the law of this diffusion towards stationarity, we identify families of random times on which the law of the arguments of points under the backward $SLE_{\kappa}$ flow converge to a closed form expression measure. For $\kappa=4,$ this gives precise characterization for the random times on which the law of the arguments of points under the backward $SLE_{\kappa}$ flow converge to the uniform law.

math.PR

Numerical method for model-free pricing of exotic derivatives using rough path signatures

We estimate prices of exotic options in a discrete-time model-free setting when the trader has access to market prices of a rich enough class of exotic and vanilla options. This is achieved by estimating an unobservable quantity called "implied expected signature" from such market prices, which are used to price other exotic derivatives. The implied expected signature is an object that characterises the market dynamics.

q-fin.MF

Nonparametric pricing and hedging of exotic derivatives

In the spirit of Arrow-Debreu, we introduce a family of financial derivatives that act as primitive securities in that exotic derivatives can be approximated by their linear combinations. We call these financial derivatives signature payoffs. We show that signature payoffs can be used to nonparametrically price and hedge exotic derivatives in the scenario where one has access to price data for other exotic payoffs. The methodology leads to a computationally tractable and accurate algorithm for pricing and hedging using market prices of a basket of exotic derivatives that has been tested on real and simulated market prices, obtaining good results.

q-fin.MF