Asymptotic behaviour of randomised fractional volatility models
From MaRDI portal
Publication:5226253
DOI10.1017/jpr.2019.27zbMath1465.60071arXiv1708.01121OpenAlexW2965206581MaRDI QIDQ5226253
Blanka Horvath, Antoine Jacquier, Chloe Lacombe
Publication date: 31 July 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.01121
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Diffusion processes (60J60) Large deviations (60F10)
Related Items
Large and moderate deviations for stochastic Volterra systems, Black-Scholes in a CEV random environment, The characteristic function of Gaussian stochastic volatility models: an analytic expression, Asymptotics for multifactor Volterra type stochastic volatility models, Deep Curve-Dependent PDEs for Affine Rough Volatility, Volatility Options in Rough Volatility Models, Asymptotics for volatility derivatives in multi-factor rough volatility models, Moderate deviation principle for multiscale systems driven by fractional Brownian motion, Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness, Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotics of implied volatility to arbitrary order
- Affine fractional stochastic volatility models
- Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions
- The asymptotic smile of a multiscaling stochastic volatility model
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
- Large deviations and the Malliavin calculus
- A large deviation principle for stochastic integrals
- Optimal importance sampling with explicit formulas in continuous time
- A large deviations principle for small perturbations of random evolution equations
- Large deviations for a class of anticipating stochastic differential equations
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Black-Scholes in a CEV random environment
- The microstructural foundations of leverage effect and rough volatility
- Optimal importance sampling for Lévy processes
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
- Stochastic calculus for fractional Brownian motion and related processes.
- Interest rate models: an infinite dimensional stochastic analysis perspective
- Sample path large deviations and optimal importance sampling for stochastic volatility models
- Long memory in continuous-time stochastic volatility models
- Asymptotics for Rough Stochastic Volatility Models
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
- Methods de laplace et de la phase stationnaire sur l'espace de wiener
- On VIX futures in the rough Bergomi model
- Volatility is rough
- Short-time at-the-money skew and rough fractional volatility
- On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
- Pathwise large deviations for the rough Bergomi model
- The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Pricing under rough volatility
- Short-time near-the-money skew in rough fractional volatility models
- Asymptotics of Forward Implied Volatility
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
- Some properties of the fractional Ornstein–Uhlenbeck process
- Diffusion processes in a small time interval
- Some Asymptotic Formulas for Wiener Integrals
- The Randomized Heston Model
- Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications
- A large-deviation principle for random evolution equations
