Related papers: The Zumbach effect under rough Heston

We consider a fractional version of the Heston volatility model which is inspired by [16]. Within this model we treat portfolio optimization problems for power utility functions. Using a suitable representation of the fractional part,…

A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure models, also turned out to capture…

Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts, including the dynamics of volatility. In the mathematical…

We consider sensitivity of a generic stochastic optimization problem to model uncertainty. We take a non-parametric approach and capture model uncertainty using Wasserstein balls around the postulated model. We provide explicit formulae for…

We study the quantum Zeno effect in the case of indirect measurement, where the detector does not interact directly with the unstable system. Expanding on the model of Koshino and Shimizu [Phys. Rev. Lett., 92, 030401, (2004)] we consider a…

This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least squares problem. We exploit a suitable representation of the Heston…

We address the information content of European option prices about volatility in terms of the Fisher information matrix. We assume that observed option prices are centred on the theoretical price provided by Heston's model disturbed by…

Bollerslev et al. (2006) study the cross-covariances for squared returns under the Heston (1993) stochastic volatility model. In order to obtain these cross-covariances the authors use an incorrect expression for the distribution of the…

We investigate the effects of weakly and strongly stratified turbulent convection on the mean effective Lorentz force, and especially on the mean effective magnetic pressure. Earlier studies with isotropically forced non-stratified and…

In this paper, we study stochastic volatility models in regimes where the maturity is small, but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the class of averaging/homogenization…

A characteristic of spin reversal in the presence of phonon-bottleneck is the deviation of the magnetization cycle from a reversible function into an opened hysterezis cycle. In recent experiments on molecular magnets (e.g. V$_{15}$ and…

In its original formulation, Heisenberg's uncertainty principle describes a trade-off relation between the error of a quantum measurement and the thereby induced disturbance on the measured object. However, this relation is not valid in…

In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are…

A multivariate fractional Brownian motion (mfBm) with component-wise Hurst exponents is used to model and forecast realized volatility. We investigate the interplay between correlation coefficients and Hurst exponents and propose a novel…

We propose a new class of rough stochastic volatility models obtained by modulating the power-law kernel defining the fractional Brownian motion (fBm) by a logarithmic term, such that the kernel retains square integrability even in the…

We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-state distribution in this model is a Beta Prime and is…

We predict the emergence of turbulent scaling in the quench dynamics of the two-dimensional Heisenberg model for a wide range of initial conditions and model parameters. In the isotropic Heisenberg model, we find that the spin-spin…

We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behavior in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the…

This paper aims at developing a quasi-Bayesian analysis of the nonparametric instrumental variables model, with a focus on the asymptotic properties of quasi-posterior distributions. In this paper, instead of assuming a distributional…

Rough volatility models are becoming increasingly popular in quantitative finance. In this framework, one considers that the behavior of the log-volatility process of a financial asset is close to that of a fractional Brownian motion with…