相关论文: Power law in Sandwiched Volterra Volatility model
We consider a microstructure foundation for rough volatility models driven by Poisson random measures. In our model the volatility is driven by self-exciting arrivals of market orders as well as self-exciting arrivals of limit orders and…
Volatility for financial assets returns can be used to gauge the risk for financial market. We propose a deep stochastic volatility model (DSVM) based on the framework of deep latent variable models. It uses flexible deep learning models to…
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients…
A mechanism is proposed for the appearance of power law distributions in various complex systems. It is shown that in a conservative mechanical system composed of subsystems with different numbers of degrees of freedom a robust power-law…
In industrial applications it is quite common to use stochastic volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a…
We provide a short-time large deviation principle (LDP) for stochastic volatility models, where the volatility is expressed as a function of a Volterra process. This LDP does not require strict self-similarity assumptions on the Volterra…
We deal with the calculation of price sensitivities for stochastic volatility models. General forms for the dynamics of the underlying asset price and its volatility are considered. We make use of the chaotic (or Malliavin) calculus to…
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori…
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (SVEs). Our study can be applied to rough processes that…
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 introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility process to be observed. Instead, it exploits the fact that the…
We introduce a model for granular avalanching which exhibits both stretched exponential and power law avalanching over its parameter range. Two modes of transport are incorporated, a rolling layer consisting of individual particles and the…
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…
The spin-vector Monte Carlo model is widely used as a benchmark for the classicality of quantum annealers but severely restricts the time evolution. The spin-vector Langevin (SVL) model has been proposed and tested as an alternative,…
The classical spin-vector Monte Carlo (SVMC) model is a reference benchmark for the performance of a quantum annealer. Yet, as a Monte Carlo method, SVMC is unsuited for an accurate description of the annealing dynamics in real-time.We…
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the…
We use the framework of sample space reducing processes (SSR) as an alternative to Boltzmann equation based approaches, to derive the energy and velocity distribution functions of an inelastic gas in a box as an example for a dissipative,…
A stochastic model is derived to predict the turbulent torque produced by a swirling flow. It is a simple Langevin process, with a colored noise. Using the unified colored noise approximation, we derive analytically the PDF of the…
In this paper we develop a Bayesian procedure for estimating multivariate stochastic volatility (MSV) using state space models. A multiplicative model based on inverted Wishart and multivariate singular beta distributions is proposed for…
This paper is devoted to establishing the full scaling limit theorems for multivariate Hawkes processes. Under some mild conditions on the exciting kernels, we develop a new way to prove that after a suitable time-spatial scaling, the…