Related papers: Asymptotic arbitrage in the Heston model
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of…
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized…
Several methods are available in the literature to stochastically compare random variables and random vectors. We introduce the notion of asymptotic stochastic order for random processes and define four such orders. Various properties and…
We study the asymptotic behavior of the least squares estimators of the unknown parameters of bifurcating autoregressive processes. Under very weak assumptions on the driven noise of the process, namely conditional pair-wise independence…
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied volatility agree algebraically, thus…
We illustrate how the notion of asymptotic coupling provides a flexible and intuitive framework for proving the uniqueness of invariant measures for a variety of stochastic partial differential equations whose deterministic counterpart…
This article studies the finite sample behaviour of a number of estimators for the integrated power volatility process of a Brownian semistationary process in the non semi-martingale setting. We establish three consistent feasible…
In this paper, we study parametric nonlinear regression under the Harris recurrent Markov chain framework. We first consider the nonlinear least squares estimators of the parameters in the homoskedastic case, and establish asymptotic theory…
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…
In the option valuation literature, the shortcomings of one factor stochastic volatility models have traditionally been addressed by adding jumps to the stock price process. An alternate approach in the context of option pricing and…
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…
In this paper, we present the asymptotic distribution of M-estimators for parameters in non-stationary AR(p) processes. The innovations are assumed to be in the domain of attraction of a stable law with index $0<\alpha\le2$. In particular,…
We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the…
The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory space and makes connections with the usual…
In this paper we prove the asymptotic efficiency of the model selection procedure proposed by the authors in the first part. To this end we introduce the robust risk as the least upper bound of the quadratical risk over a broad class of…
We apply the recent results of F. Hiai, M. Mosonyi and T. Ogawa [arXiv:0707.2020, to appear in J. Math. Phys.] to the asymptotic hypothesis testing problem of locally faithful shift-invariant quasi-free states on a CAR algebra. We use a…
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for…
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schobel-Zhu stochastic volatility models we give simple explicit expressions…
Stochastic volatility models describe asset prices $S_t$ as driven by an unobserved process capturing the random dynamics of volatility $\sigma_t$. Here, we quantify how much information about $\sigma_t$ can be inferred from asset prices…
We study, from the perspective of large financial markets, the asymptotic arbitrage opportunities in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating sequence was introduced by Sottinen and…