We describe several strategies for the calibration of one factor Hull-White model with constant or time-dependent mean reversion and volatility parameters to the interest rate vanillas. We propose an efficient approximation formula for the swaption implied volatility which enables us to estimate the mean reversion independently of the volatility. We give the closed-forms for exact pricing using...

Austenitic stainless steels are extensively used in various applications requiring good corrosion resistance and formability. In the current study, the formation of nano/ ultrafine grained austenitic microstructure in a microalloyed AISI 304L stainless steel was investigated by the advanced thermomechanical process of reversion of strain-induced martensite. For this purpose, samples were subjec...

This paper investigates the American strangle option in a mean-reversion environment. When underlying asset follows mean-reverting lognormal process, an analytic pricing formula for is explicitly provided. To present formula, we consider partial differential equation (PDE) options with two optimal stopping boundaries and use Mellin transform techniques to derive integral representation arising ...

We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by 4 kernels associated with respectively the trade arrival selfexcitation, the price changes mean reversion the impact of trade arrivals on price variations and the feedback of price ch...