Related papers: A regularity structure for rough volatility
We examine the relation between a stochastic version of the rough path integral with the symmetric-Stratonovich integral in the sense of regularization. Under mild regularity conditions in the sense of Malliavin calculus, we establish…
With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed…
We introduce in this work a concept of rough driver that somehow provides a rough path-like analogue of an enriched object associated with time-dependent vector fields. We use the machinery of approximate flows to build the integration…
Accurate forecasting of volatility and return quantiles is essential for evaluating financial tail risks such as value-at-risk and expected shortfall. This study proposes an extension of the traditional stochastic volatility model, termed…
We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures. These models are very useful as they alleviate the standard curse of dimensionality, allowing the number of…
We consider stochastic volatility dynamics driven by a general H\"older continuous Volterra-type noise and with unbounded drift. For these so-called SVV-models, we consider the explicit computation of quadratic hedging strategies. While the…
This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and quantifies the effects of macroeconomic events across…
The Stochastic Volatility (SV) model and its variants are widely used in the financial sector while recurrent neural network (RNN) models are successfully used in many large-scale industrial applications of Deep Learning. Our article…
In this article, I would like to express some of my views on the nature of turbulence. These views are mainly drawn from the author's recent results on chaos in partial differential equations \cite{Li04}. Fluid dynamicists believe that…
Surfaces eroded by ion-sputtering are sometimes observed to develop morphologies which are either ripple (periodic), or rough (non-periodic). We introduce a discrete stochastic model that allows us to interpret these experimental…
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic…
We analyze common lifts of stochastic processes to rough paths/rough drivers-valued processes and give sufficient conditions for the cocycle property to hold for these lifts. We show that random rough differential equations driven by such…
A new theory of coherent structure in wall turbulence is presented. The theory is the first to predict packets of hairpin vortices and other structure in turbulence, and their dynamics, based on an analysis of the Navier-Stokes equations,…
Turbulent characteristics within shear layer have been studied, recently, within vegetative canopy, buildings, dunes. Kevin-Helmholtz instability triggered hairpin vortex shedding has been widely concluded as the "signature" of mixing layer…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…
We introduce a class of randomly time-changed fast mean-reverting stochastic volatility models and, using spectral theory and singular perturbation techniques, we derive an approximation for the prices of European options in this setting.…
This paper expands traditional stochastic volatility models by allowing for time-varying skewness without imposing it. While dynamic asymmetry may capture the likely direction of future asset returns, it comes at the risk of leading to…
For 3D geometries, we consider stones (modeled as convex polyhedra) subject to weathering with planar slices of random orientation and depth successively removing material, ultimately yielding smooth and round (i.e. spherical) shapes. An…
Volatility, as a measure of uncertainty, plays a crucial role in numerous financial activities such as risk management. The Econometrics and Machine Learning communities have developed two distinct approaches for financial volatility…
We develop a framework for regularly varying measures on complete separable metric spaces $\mathbb{S}$ with a closed cone $\mathbb{C}$ removed, extending material in Hult & Lindskog (2006), Das, Mitra & Resnick (2013). Our framework…