相关论文: From constant to rough: A survey of continuous vol…

This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…

Spatial heteroskedasticity refers to stochastically changing variances and covariances in space. Such features have been observed in, for example, air pollution and vegetation data. We study how volatility modulated moving averages can…

A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by models that directly prescribe dynamics to the VIX,…

We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…

We study two complementary methodologies for calibrating implied volatility surfaces: analytical approximations and data-driven models based on rough path theory. On the analytical side, we revisit a second-order asymptotic expansion for…

We present a selective review on probabilistic modeling of heterogeneity in random graphs. We focus on latent space models and more particularly on stochastic block models and their extensions that have undergone major developments in the…

Based on the existing literature, this article presents the different ways of choosing the parameters of stochastic volatility models in general, in the context of pricing financial derivative contracts. This includes the use of stochastic…

We introduce a class of continuum mechanical models aimed at describing the behaviour of viscoelastic fluids by incorporating concepts originated in the theory of solid plasticity. Within this class, even a simple model with constant…

The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…

A method is developed to estimate the properties of a global hydrodynamic instability in turbulent flows from measurement data of the limit-cycle oscillations. For this purpose, the flow dynamics are separated in deterministic contributions…

This paper provides a prescription for the turbulent viscosity in rotating shear flows for use e.g. in geophysical and astrophysical contexts. This prescription is the result of the detailed analysis of the experimental data obtained in…

Stochastic volatility models describe stock returns $r_t$ as driven by an unobserved process capturing the random dynamics of volatility $v_t$. The present paper quantifies how much information about volatility $v_t$ and future stock…

In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with…

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 stochastic Volterra rough volatility models, the volatility follows a truncated Brownian semi-stationary process with stochastic vol-of-vol. Recently, efficient VIX pricing Monte Carlo methods have been proposed for the case where the…

We review opportunities for stochastic geometric mechanics to incorporate observed data into variational principles, in order to derive data-driven nonlinear dynamical models of effects on the variability of computationally resolvable…

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…

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…

Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…

Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility…