Related papers: Second Order Multiscale Stochastic Volatility Asym…
Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asymmetric return-volatility (or `leverage') correlations that…
In this paper we establish the error rate of first order asymptotic approximation for the tail probability of sums of log-elliptical risks. Our approach is motivated by extreme value theory which allows us to impose only some weak…
We present an option pricing formula for European options in a stochastic volatility model. In particular, the volatility process is defined using a fractional integral of a diffusion process and both the stock price and the volatility…
In this paper we derive a second order approximation for an infinite dimensional limit order book model, in which the dynamics of the incoming order flow is allowed to depend on the current market price as well as on a volume indicator…
We develop a novel stochastic valuation and premium calculation principle based on probability measure distortions that are induced by quantile processes in continuous time. Necessary and sufficient conditions are derived under which the…
We propose an alternative approach towards cost mitigation in volatility-managed portfolios based on smoothing the predictive density of an otherwise standard stochastic volatility model. Specifically, we develop a novel variational Bayes…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
In this paper, to cope with the shortage of sufficient theoretical support resulted from the fast-growing quantitative financial modeling, we investigate two classes of generalized stochastic volatility models, establish their…
Risk management in financial derivative markets requires inevitably the calculation of the different price sensitivities. The literature contains an abundant amount of research works that have studied the computation of these important…
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…
We consider two-dimensional homogeneous shear turbulence within the context of optimal control, a multi-scale turbulence model containing the fluctuation velocity and pressure correlations up to the fourth order; The model is formulated on…
Events such as the Financial Crisis of 2007-2008 or the COVID-19 pandemic caused significant losses to banks and insurance entities. They also demonstrated the importance of using accurate equity risk models and having a risk management…
This paper exposes a novel exploratory formalism, which end goal is the numerical simulation of the dynamics of a cloud of particles weakly or strongly coupled with a turbulent fluid. Giventhe large panel of expertise of the list of…
In this paper we introduce a general method for estimating the quadratic covariation of one or more spot parameters processes associated with continuous time semimartingales. This estimator is applicable to a wide range of spot parameter…
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical results. Finally, we provide an outlook on…
Stochastic Spatio-Temporal processes are prevalent across domains ranging from modeling of plasma to the turbulence in fluids to the wave function of quantum systems. This letter studies a measure-theoretic description of such systems by…
It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with Hurst parameter smaller than 1/2. This…
Manufactured metallic components often contain non-uniformly distributed pores of complex morphologies. Since such porosity defects have significant influence on material behaviors and affect the usage in high-performance applications, it…
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other…