Gregory Pelts

Scotia Bank

Director

Word Financial Center

New York City, NY 10278

United States

SCHOLARLY PAPERS

6

DOWNLOADS

425

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

Unspanned Volatility in Non-Affine Short Rate Models and Conformal Symmetry

Number of pages: 50 Posted: 05 Feb 2016 Last Revised: 17 Mar 2016
Gregory Pelts
Scotia Bank
Downloads 141 (254,608)

Abstract:

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bermudan swaptions, spread options, interest rate derivatives, libor market model, short rate models, pricing securities, quantitative finance, term structure models, financial mathematics, swaption, caps, floors, vol cube, vol bonds, conformal symmetries, measure theory, unspanned volatility

2.

Unspanned Stochastic Volatility & Conformal Symmetry (Presentation Slides)

Presentation at Global Derivatives 2016
Number of pages: 19 Posted: 31 May 2016
Gregory Pelts
Scotia Bank
Downloads 83 (366,406)
Citation 1

Abstract:

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bermudan swaptions, spread options, interest rate derivatives, libor market model, short rate models, pricing securities, quantitative finance, term structure models, financial mathematics, swaption, caps, floors, vol cube, vol bonds, conformal symmetries, measure theory, unspanned volatility

3.

Unspanned Stochastic Volatility, Conformal Symmetries, and Stochastic Time

Number of pages: 21 Posted: 19 Jul 2017 Last Revised: 19 Sep 2017
Gregory Pelts
Scotia Bank
Downloads 71 (400,550)

Abstract:

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interest rate derivatives, market models, jump diffusion, conformal symmetry, uspanned

4.

Quantum Pricing (Presentation Slides)

Number of pages: 42 Posted: 08 Oct 2018
Gregory Pelts
Scotia Bank
Downloads 61 (433,380)

Abstract:

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Appel Symmetry, Classical Mechanics, Black-Scholes, Group Cohomology, Central Extension, Hamiltonian Mechanics, Virasoro Algebra, Group Representation, Quantum Field Thory

5.

No El Dorado Principle (Presentation Slides)

Number of pages: 8 Posted: 07 Sep 2015
Gregory Pelts
Scotia Bank
Downloads 55 (455,191)

Abstract:

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arbitrage, stochastic volatility, stochastic rates, Dybvig-Ingersoll-Ross Theorem

6.

Unspanned Stochastic Covariations & Projective Geometry (Presentation Slides)

Number of pages: 37 Posted: 08 Oct 2018
Gregory Pelts
Scotia Bank
Downloads 14 (680,050)
Citation 1

Abstract:

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Interest Rate Derivatives, Market Models, Jump Diffusion, Conformal Symmetry, Uspanned Stochastic Volatility, Division Algebras, Exceptional Groups, Quaternions, Octonions, Projective Geometry

Other Papers (1)

Total Downloads: 84
1.

Game of Vols

Number of pages: 43 Posted: 22 Oct 2019
Peter Carr and Gregory Pelts
New York University (NYU) - Finance and Risk Engineering Department and Scotia Bank
Downloads 84

Abstract:

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volatility, surface, arbitrage-free, options