Robustness for path-dependent volatility models (Q377786)

The paper focuses on financial models where the price evolution depends on current values as well as on past values. In particular, the study considers a generalization [\textit{P. Foschi} and \textit{A. Pascucci}, Decis. Econ. Finance 31, No. 1, 13--32 (2008; Zbl 1160.35457)] of the Hobson-Rogers model [\textit{D. G. Hobson} and \textit{L. C. G. Rogers}, Math. Finance 8, No. 1, 27--48 (1998; Zbl 0908.90012)] on the basis of some recent results in the literature. Within this context, the robustness of the aforementioned model is investigated with respect to the offset function, which depends on the past risky asset. Throughout the analysis, some existing results on the use of past information are extended; at the same time the width of the observation window is properly improved. Moreover the stationarity of the model is characterized. Finally the model is calibrated to the prices of two indexes, on the basis of two different volatility shapes.