Imagen de Portada

Reconciling rough volatility with jumps

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Jaber, Eduardo Abi, De Carvalho, Nathan
Formato:	Preprint
Publicado:	2023
Materias:	Mathematical Finance Computational Finance
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
por: Jaber, Eduardo Abi, et al.
Publicado: (2022)

Simulation of square-root processes made simple: applications to the Heston model
por: Jaber, Eduardo Abi
Publicado: (2024)

Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)

Volatility models in practice: Rough, Path-dependent or Markovian?
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)

Martingale property and moment explosions in signature volatility models
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

Complex discontinuities of the square root of Fredholm determinants in the Volterra Stein-Stein model
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

Optimal Liquidation With Signals: The General Propagator Case
por: Eduardo Abi Jaber, et al.
Publicado: (2025)

Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

Volatility Models in Practice: Rough, Path‐Dependent, or Markovian?
por: Eduardo Abi Jaber, et al.
Publicado: (2025)

Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

Optimal Portfolio Choice With Cross‐Impact Propagators
por: Eduardo Abi Jaber, et al.
Publicado: (2026)

Ultra-short-term volatility surfaces
por: Bandi, Federico M., et al.
Publicado: (2026)

Hedging with memory: shallow and deep learning with signatures
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

On the Hull-White model with volatility smile for Valuation Adjustments
por: van der Zwaard, T., et al.
Publicado: (2024)

Forecasting implied volatility surface with generative diffusion models
por: Jin, Chen, et al.
Publicado: (2025)

The Volterra Stein-Stein model with stochastic interest rates
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

The Laplace transform of the integrated Volterra Wishart process
por: Jaber, Eduardo Abi
Publicado: (2019)

The rough Hawkes Heston stochastic volatility model
por: Alessandro Bondi, et al.
Publicado: (2024)

Semi-analytic pricing of American options in time-dependent jump-diffusion models with exponential jumps
por: Itkin, Andrey
Publicado: (2023)

A nonparametric test for rough volatility
por: Chong, Carsten H., et al.
Publicado: (2024)

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
por: Łabędzki, Mikołaj
Publicado: (2025)

American options valuation in time-dependent jump-diffusion models via integral equations and characteristic functions
por: Itkin, Andrey
Publicado: (2025)

Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions
por: Choi, Jaehyuk
Publicado: (2024)

Signature approach for pricing and hedging path-dependent options with frictions
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

On the implied volatility of Inverse options under stochastic volatility models
por: Alòs, Elisa, et al.
Publicado: (2023)

On the implied volatility of Asian options under stochastic volatility models
por: Alòs, Elisa, et al.
Publicado: (2022)

An empirical study of market risk factors for Bitcoin
por: Singh, Shubham
Publicado: (2024)

Machine Learning Methods for Pricing Financial Derivatives
por: Fan, Lei, et al.
Publicado: (2024)

On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
por: Alòs, Elisa, et al.
Publicado: (2023)

Malliavin calculus for signatures with applications to finance
por: Jaber, Eduardo Abi, et al.
Publicado: (2026)

Swing contract pricing: with and without Neural Networks
por: Lemaire, Vincent, et al.
Publicado: (2023)

Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
por: Lalor, Luca, et al.
Publicado: (2025)

Watanabe's expansion: A Solution for the convexity conundrum
por: García-Lorite, David, et al.
Publicado: (2024)

Basket Options with Volatility Skew: Calibrating a Local Volatility Model by Sample Rearrangement
por: Zaugg, Nicola F., et al.
Publicado: (2024)

Deep Penalty Methods: A Class of Deep Learning Algorithms for Solving High Dimensional Optimal Stopping Problems
por: Peng, Yunfei, et al.
Publicado: (2024)

Computing the SSR
por: Friz, Peter K., et al.
Publicado: (2024)

Marketron games: Self-propelling stocks vs dumb money and metastable dynamics of the Good, Bad and Ugly markets
por: Halperin, I., et al.
Publicado: (2025)

Boundary conditions at infinity for Black-Scholes equations
por: Tsuzuki, Yukihiro
Publicado: (2024)

From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market
por: Zhang, Wenxuan, et al.
Publicado: (2026)