Related papers: Asymptotic arbitrage in the Heston model
The lifted Heston model is a stochastic volatility model emerging as a Markovian lift of the rough Heston model and the class of rough volatility processes. The model encodes the path dependency of volatility on a set of N square-root state…
We examine the empirical performance of some parametric and nonparametric estimators of prices of options with a fixed time to maturity, focusing on variance-gamma and Heston models on one side, and on expansions in Hermite functions on the…
In this paper we study the asymptotic behavior of the Gaussian quasi maximum likelihood estimator of a stationary GARCH process with heavy-tailed innovations. This means that the innovations are regularly varying with index…
The problem of parameter estimation by observations of inhomogeneous Poisson processes is considered. The method of moments estimator is studied and its stochastic expansion is obtained. This stochastic expansion is then used to obtain the…
The asymptotic behavior of the stochastic gradient algorithm with a biased gradient estimator is analyzed. Relying on arguments based on the dynamic system theory (chain-recurrence) and the differential geometry (Yomdin theorem and…
We propose and analyze a specific asymptotic stochastic order for random processes based on the measure of departure discussed in the literature. As applications, we stochastically compare mixtures of order statistics and record values…
This paper aims at transferring the philosophy behind Heath-Jarrow-Morton to the modelling of call options with all strikes and maturities. Contrary to the approach by Carmona and Nadtochiy (2009) and related to the recent contribution…
The association between two random variables is often of primary interest in statistical research. In this paper semiparametric models for the association between random vectors X and Y are considered which leave the marginal distributions…
In this paper we study the asymptotic behaviour of empirical processes when parameters are estimated, assuming that the underlying sequence of random variables is long-range dependent. We show completely different phenomena compared to…
This paper is devoted to studying non-commensurate fractional order planar systems. Our contributions are to derive sufficient conditions for the global attractivity of non-trivial solutions to fractional-order inhomogeneous linear planar…
The asymptotic log-Harnack inequality is established for several different models of stochastic differential systems with infinite memory: non-degenerate SDEs, Neutral SDEs, semi-linear SPDEs, and stochastic Hamiltonian systems. As…
We consider the semi-parametric estimation of a scale parameter of a one-dimensional Gaussian process with known smoothness. We suggest an estimator based on quadratic variations and on the moment method. We provide asymptotic…
We study the dynamics of the normal implied volatility in a local volatility model, using a small-time expansion in powers of maturity T. At leading order in this expansion, the asymptotics of the normal implied volatility is similar, up to…
Marginal structural models were introduced in order to provide estimates of causal effects from interventions based on observational studies in epidemiological research. The key point is that this can be understood in terms of Girsanov's…
Recent years have seen an increased level of interest in pricing equity options under a stochastic volatility model such as the Heston model. Often, simulating a Heston model is difficult, as a standard finite difference scheme may lead to…
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's moment formulas for the implied volatility,…
This thesis investigates Merton's portfolio problem under two different rough Heston models, which have a non-Markovian structure. The motivation behind this choice of problem is due to the recent discovery and success of rough volatility…
We propose a panel ARMA-GARCH model to capture the dynamics of large panel data with $N$ individuals over $T$ time periods. For this model, we provide a two-step estimation procedure to estimate the ARMA parameters and GARCH parameters…
We continue our study on the logarithmic balanced model metric initiated in our previous work. By a non-trivial refinement of the set of tools developed in our previous work, we are able to confirm partially a conjecture we made in our…
We consider classical $O(N)$ vector models in dimension three and higher and investigate the nature of the low-temperature expansions for their multipoint spin correlations. We prove that such expansions define asymptotic series, and derive…