How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost

DOI10.1137/20m1358670zbMath1522.91241OpenAlexW4385721186MaRDI QIDQ6048447

Juergen Jost, Luu Hoang Duc

Publication date: 14 September 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1358670

zbMATH Keywords

noisestock priceriskvolatilityrough differential equationsrough path theoryno-arbitrageexpected returnrough path lifts

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic integrals (60H05) Financial markets (91G15)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Measuring multiscaling in financial time-series
• Simple arbitrage
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Approach to an irregular time series on the basis of the fractal theory
• Differential equations driven by rough signals
• Arbitrage in fractional Brownian motion models
• Mixed fractional Brownian motion
• Sticky processes, local and true martingales
• Controlling rough paths
• Stochastic calculus with respect to \(G\)-Brownian motion viewed through rough paths
• Consistent price systems and face-lifting pricing under transaction costs
• Stochastic calculus for fractional Brownian motion and related processes.
• Wong-Zakai type approximations of rough random dynamical systems by smooth noise
• Long memory in continuous-time stochastic volatility models
• Multifractional processes in finance
• Multidimensional Stochastic Processes as Rough Paths
• Multi-scaling in finance
• Thou shalt buy and hold
• Arbitrage with Fractional Brownian Motion
• The absence of arbitrage in a model with fractal Brownian motion
• Volatility is rough
• Scaling and Multiscaling in Financial Series: A Simple Model
• Rough pathsviasewing Lemma
• Stochastic Integrals and Conditional Full Support
• Pricing under rough volatility
• Rough Path Theory to Approximate Random Dynamical Systems
• On a stochastic version of the trading rule “Buy and Hold”
• SHADOW PRICES FOR CONTINUOUS PROCESSES
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• Fractional Brownian Motions, Fractional Noises and Applications
• A regularity structure for rough volatility
• Book Reviews
• Stochastic calculus with respect to Gaussian processes
• A course on rough paths. With an introduction to regularity structures
• Modelling financial time series using multifractal random walks

This page was built for publication: How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost