相关论文: Power law in Sandwiched Volterra Volatility model
We consider a large market model of defaultable assets in which the asset price processes are modelled as Heston-type stochastic volatility models with default upon hitting a lower boundary. We assume that both the asset prices and their…
In this paper we study continuous time random walks (CTRWs) such that the holding time in each state has a distribution depending on the state itself. For such processes, we provide integro-differential (backward and forward) equations of…
We study the double cascade of energy and wave action in a local model of superfluid vortex filaments. The model is obtained from a truncated expansion of the 2D Local Induction Approximation and it is shown to support six-wave…
We provide a unified treatment of pathwise Large and Moderate deviations principles for a general class of multidimensional stochastic Volterra equations with singular kernels, not necessarily of convolution form. Our methodology is based…
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of…
This paper presents a novel approach to stochastic volatility (SV) modeling by utilizing nonparametric techniques that enhance our ability to capture the volatility of financial time series data, with a particular emphasis on the…
The paper builds a Variance-Gamma (VG) model with five parameters: location ($\mu$), symmetry ($\delta$), volatility ($\sigma$), shape ($\alpha$), and scale ($\theta$); and studies its application to the pricing of European options. The…
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional L\'evy process. We set up a valuation model in…
We extend a generic class of systems which have previously been shown to spontaneously develop scaling (power law) distributions of their elementary degrees of freedom. While the previous systems were linear and exploded exponentially for…
We study fractional stochastic volatility models in which the volatility process is a positive continuous function $\sigma$ of a continuous Gaussian process $\widehat{B}$. Forde and Zhang established a large deviation principle for the…
We introduce a novel Bayesian framework for estimating time-varying volatility by extending the Random Walk Stochastic Volatility (RWSV) model with Dynamic Shrinkage Processes (DSP) in log-variances. Unlike the classical Stochastic…
We address the optimal control of stochastic Volterra integral equations with delay through the lens of Hida-Malliavin calculus. We show that the corresponding adjoint processes satisfy an anticipated backward stochastic Volterra integral…
This paper generalizes the integration theory for volatility modulated Brownian-driven Volterra processes onto the space G* of Potthoff-Timpel distributions. Sufficient conditions for integrability of generalized processes are given,…
Quantum lattice models describe a wide array of physical systems, and are a canonical way to numerically solve the Schrodinger equation. Here we prove the potential inversion theorem, which says that wavefunction probability in these models…
This paper develops a flexible and computationally efficient multivariate volatility model, which allows for dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties…
Malliavin calculus provides a characterization of the centered model in regularity structures that is stable under removing the small-scale cut-off. In conjunction with a spectral gap inequality, it yields the stochastic estimates of the…
We investigate the validity of fluctuation theorems for an asymmetric rotor experiment in a granular gas. A first state, with a Gaussian distribution of the angular velocity, is found to be well described by a first order Langevin equation.…
Recently, the paradigm that the dynamic magnetosphere displays sandpile-type phenomenology has been advanced, in which energy dissipation is by means of avalanches which do not have an intrinsic scale. This may in turn imply that the system…
Based on the notion of paracontrolled distributions, we provide existence and uniqueness results for rough Volterra equations of convolution type with potentially singular kernels and driven by the newly introduced class of convolutional…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…