Zobrazeno 1 - 10
of 54
pro vyhledávání: '"Martino Grasselli"'
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent financial l
Externí odkaz:
http://arxiv.org/abs/1805.12587
Autor:
Martino Grasselli, Matthieu Garcin
Publikováno v:
Decisions in Economics and Finance. 45:257-278
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69cbdcb70657cb7651c59d25cdb3837f
https://doi.org/10.1007/s10203-021-00358-3
https://doi.org/10.1007/s10203-021-00358-3
We calibrate a novel multifactor stochastic volatility model that includes as special cases the Heston-based model of De Col et al. (J Bank Finance 37(10):3799–3818, 2013) and the 3/2-based model of Baldeaux et al. (J Bank Finance 53:34–48, 2015)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::951c1b91981f34d26dcf614662f7779f
https://hdl.handle.net/10453/164269
https://hdl.handle.net/10453/164269
Publikováno v:
Applied Mathematics and Computation. 441:127666
We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pag\`es and Sagna (2018) so that our approach is fully based on recursive marginal quantization and does not involve any Mont
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5cecce913b1601a6d6a572f9571575e7
https://doi.org/10.1016/j.amc.2022.127666
https://doi.org/10.1016/j.amc.2022.127666
Publikováno v:
Stochastic models, 35 (1
In this article, we focus upon a family of matrix valued stochastic processes and study the problem of determining the smallest time such that their Laplace transforms become infinite. In particular, we concentrate upon the class of Wishart processes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0e0cd718b0d6f5a45a60f235b80f0097
https://doi.org/10.1080/15326349.2019.1578237
https://doi.org/10.1080/15326349.2019.1578237
Publikováno v:
Mathematics of Operations Research
Mathematics of Operations Research, INFORMS, 2020, 46 (1), pp.221-254. ⟨10.1287/moor.2020.1054⟩
Mathematics of Operations Research, INFORMS, 2020, 46 (1), pp.221-254. ⟨10.1287/moor.2020.1054⟩
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent financial l
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f29871fbd37f87b3320433e7643b13b4
http://hdl.handle.net/11577/3391439
http://hdl.handle.net/11577/3391439
Publikováno v:
ARES
The volume of transactions in financial markets is impressive: e.g., every four days an amount similar to the USA GDP flows through the Forex (foreign exchange, which is only one of the several financial markets). Currently, financial markets are ICT
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::85b71376c1ad5f9f1359bc1f1f4f940d
https://doi.org/10.1145/3407023.3409191
https://doi.org/10.1145/3407023.3409191
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in commodity
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a2ee7990acd182215f46028a8d601ba3
Autor:
Lakshithe Wagalath, Martino Grasselli
We propose a framework for modeling in a consistent manner the VIX index and the VXX, an exchange-traded note written on the VIX. Our study enables to link the properties of VXX to those of the VIX in a tractable way. In particular, we quantify the s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::effbbf88cee425d76937b420121ed902
http://hdl.handle.net/11577/3445104
http://hdl.handle.net/11577/3445104