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Found 8 papers, 0 papers with code
Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
We consider the Fourier-Laplace transforms of a broad class of polynomial Ornstein-Uhlenbeck (OU) volatility models, including the well-known Stein-Stein, Sch\"obel-Zhu, one-factor Bergomi, and the recently introduced Quintic OU models motivated by the SPX-VIX joint calibration problem.
Optimal Portfolio Choice with Cross-Impact Propagators
We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross-impact driven by a matrix-valued Volterra propagator, as well as temporary price impact.
Signature volatility models: pricing and hedging with Fourier
We consider a stochastic volatility model where the dynamics of the volatility are given by a possibly infinite linear combination of the elements of the time extended signature of a Brownian motion.
Volatility models in practice: Rough, Path-dependent or Markovian?
On the positive side: our study identifies a (non-rough) path-dependent Bergomi model and an under-parametrized two-factor Markovian Bergomi model that consistently outperform their rough counterpart in capturing SPX smiles between one week and three years with only 3 to 4 calibratable parameters.
Reconciling rough volatility with jumps
We reconcile rough volatility models and jump models using a class of reversionary Heston models with fast mean reversions and large vol-of-vols.
The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles
The quintic Ornstein-Uhlenbeck volatility model is a stochastic volatility model where the volatility process is a polynomial function of degree five of a single Ornstein-Uhlenbeck process with fast mean reversion and large vol-of-vol.
Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function of a Gaussian Volterra process defined as a stochastic convolution between a kernel and a Brownian motion.
Optimal Liquidation with Signals: the General Propagator Case
We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra-type propagator along with temporary price impact.
