Related papers: Asymptotic arbitrage in the Heston model

A Milstein-type scheme was proposed to improve the rate of convergence of its approximation of the solution to a stochastic differential equation driven by a vector of continuous semimartingales. A necessary and sufficient condition was…

Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the…

There is vast empirical evidence that given a set of assumptions on the real-world dynamics of an asset, the European options on this asset are not efficiently priced in options markets, giving rise to arbitrage opportunities. We study…

We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the G\"artner-Ellis theorem and sharp large deviations tools.

The estimation of the covariance structure from a discretely observed multivariate Gaussian process under asynchronicity and noise is analysed under high-frequency asymptotics. Asymptotic lower and upper bounds are established for a general…

We apply the nonlinear steepest descent method to a class of 3x3 Riemann-Hilbert problems introduced in connection with the Cauchy two-matrix random model. The general case of two equilibrium measures supported on an arbitrary number of…

We investigate the late-time asymptotic behavior of solutions to nonlinear hyperbolic systems of conservation laws containing stiff relaxation terms. First, we introduce a Chapman-Enskog-type asymptotic expansion and derive an effective…

In this paper, we introduce a targeted exploration strategy for the non-asymptotic, finite-time case. The proposed strategy is applicable to uncertain linear time-invariant systems subject to sub-Gaussian disturbances. As the main result,…

We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated.

Grey-scale local algorithms have been suggested as a fast way of estimating surface area from grey-scale digital images. Their asymptotic mean has already been described. In this paper, the asymptotic behaviour of the variance is studied in…

We simultaneously estimate the four parameters of a subcritical Heston process. We do not restrict ourself to the case where the stochastic volatility process never reaches zero. In order to avoid the use of unmanageable stopping times and…

The purpose of this paper is to study the asymptotic behavior of the weighted least square estimators of the unknown parameters of random coefficient bifurcating autoregressive processes. Under suitable assumptions on the immigration and…

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…

In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a tractable formula for the expected squared hedging error…

We study asymptotic behaviour of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function.…

In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…

A variational formula for the asymptotic variance of general Markov processes is obtained. As application, we get a upper bound of the mean exit time of reversible Markov processes, and some comparison theorems between the reversible and…

Asymptotic expansions are derived for solutions of the parabolic cylinder and Weber differential equations. In addition the inhomogeneous versions of the equations are considered, for the case of polynomial forcing terms. The expansions…

Geometric arbitrage theory reformulates a generic asset model possibly allowing for arbitrage by packaging all asset and their forward dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes…

We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results by Jacod (2008) are generalized to the…