The microstructural foundations of leverage effect and rough volatility
From MaRDI portal
Publication:1709601
DOI10.1007/s00780-018-0360-zzbMath1410.91491arXiv1609.05177OpenAlexW2522906556MaRDI QIDQ1709601
Omar El Euch, Mathieu Rosenbaum, Masaaki Fukasawa
Publication date: 6 April 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1609.05177
limit theoremsleverage effectmarket microstructureHeston modelHawkes processeshigh frequency tradingrough Heston modelrough volatility
Statistical methods; risk measures (91G70) Functional limit theorems; invariance principles (60F17) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (47)
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Large and moderate deviations for stochastic Volterra systems ⋮ Pricing Options under Rough Volatility with Backward SPDEs ⋮ Asymptotic Behavior of the Fractional Heston Model ⋮ Black-Scholes in a CEV random environment ⋮ Volatility is rough ⋮ Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data ⋮ A fast algorithm for simulation of rough volatility models ⋮ Short-dated smile under rough volatility: asymptotics and numerics ⋮ Robust control in a rough environment ⋮ American Options in the Volterra Heston Model ⋮ The Alpha‐Heston stochastic volatility model ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ Wiener Spiral for Volatility Modeling ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem ⋮ Volterra square-root process: stationarity and regularity of the law ⋮ Ramification of Volterra-type rough paths ⋮ VIX pricing in the rBergomi model under a regime switching change of measure ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ Weak Error Rates of Numerical Schemes for Rough Volatility ⋮ Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process ⋮ Volatility Options in Rough Volatility Models ⋮ Local volatility under rough volatility ⋮ Rough Heston Models with Variable Vol-of-Vol and Option Pricing ⋮ The Zumbach effect under rough Heston ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process ⋮ OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL ⋮ Affine forward variance models ⋮ The Randomized Heston Model ⋮ The characteristic function of rough Heston models ⋮ Functional limit theorems for marked Hawkes point measures ⋮ Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case ⋮ Affine Volterra processes ⋮ Mean-variance portfolio selection under Volterra Heston model ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ Multifactor Approximation of Rough Volatility Models ⋮ Buy rough, sell smooth ⋮ Markov-modulated affine processes ⋮ Volatility has to be rough ⋮ Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime ⋮ Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes ⋮ The microstructure of stochastic volatility models with self-exciting jump dynamics ⋮ From microscopic price dynamics to multidimensional rough volatility models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Modelling security market events in continuous time: intensity based, multivariate point process models
- Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
- On some properties of the Mittag-Leffler function \(E_\alpha(-t^\alpha)\), completely monotone for \(t>0\) with \(0<\alpha<1\)
- Mittag-Leffler functions and their applications
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Weak limit theorems for stochastic integrals and stochastic differential equations
- ARCH modeling in finance. A review of the theory and empirical evidence
- Augmented GARCH\((p,q)\) process and its diffusion limit
- Reconsidering the continuous time limit of the GARCH(1,1) process
- Limit theorems for nearly unstable Hawkes processes
- Some limit theorems for Hawkes processes and application to financial statistics
- ARCH models as diffusion approximations
- Affine Point Processes and Portfolio Credit Risk
- Multivariate Hawkes processes: an application to financial data
- The stochastic Fubini theorem revisited
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Continuous Time Approximations to GARCH and Stochastic Volatility Models
- A cluster process representation of a self-exciting process
- Asymptotic Behavior of the Fractional Heston Model
- Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
- Volatility is rough
- Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data
- The Estimation of Leverage Effect With High-Frequency Data
- Pricing under rough volatility
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Special Functions for Applied Scientists
- Estimating value-at-risk: a point process approach
- Modelling microstructure noise with mutually exciting point processes
- Threshold heteroskedastic models
This page was built for publication: The microstructural foundations of leverage effect and rough volatility
