The characteristic function of rough Heston models
O El Euch, M Rosenbaum - Mathematical Finance, 2019 - Wiley Online Library
It has been recently shown that rough volatility models, where the volatility is driven by a
fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in …
fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in …
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
Statistical inference for rough volatility: Minimax theory
Statistical inference for rough volatility: Minimax theory Page 1 The Annals of Statistics 2024,
Vol. 52, No. 4, 1277–1306 https://doi.org/10.1214/23-AOS2343 © Institute of Mathematical …
Vol. 52, No. 4, 1277–1306 https://doi.org/10.1214/23-AOS2343 © Institute of Mathematical …
The rough Hawkes Heston stochastic volatility model
We study an extension of the Heston stochastic volatility model that incorporates rough
volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston …
volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston …
Deep hedging under rough volatility
We investigate the performance of the Deep Hedging framework under training paths
beyond the (finite dimensional) Markovian setup. In particular, we analyse the hedging …
beyond the (finite dimensional) Markovian setup. In particular, we analyse the hedging …
No‐arbitrage implies power‐law market impact and rough volatility
Market impact is the link between the volume of a (large) order and the price move during
and after the execution of this order. We show that in a quite general framework, under no …
and after the execution of this order. We show that in a quite general framework, under no …
Statistical inference for rough volatility: Central limit theorems
In recent years, there has been a substantive interest in rough volatility models. In this class
of models, the local behavior of stochastic volatility is much more irregular than …
of models, the local behavior of stochastic volatility is much more irregular than …
Forecasting volatility in commodity markets with long-memory models
Commodities are the most volatile markets, and forecasting their volatility is an issue of
paramount importance. We examine the dynamics of commodity markets volatility by …
paramount importance. We examine the dynamics of commodity markets volatility by …