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pro vyhledávání: '"Omar El Euch"'
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in this mode
Externí odkaz:
http://arxiv.org/abs/1609.05177
Autor:
Eduardo Abi Jaber, Omar El Euch
Publikováno v:
Statistics & Probability Letters. 149:63-72
We characterize the Markovian and affine structure of the Volterra Heston model in terms of an infinite-dimensional adjusted forward process and specify its state space. More precisely, we show that it satisfies a stochastic partial differential equa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eda7ba75cc3e593fd7a08cb7c9f121c2
https://doi.org/10.1016/j.spl.2019.01.024
https://doi.org/10.1016/j.spl.2019.01.024
Autor:
Eduardo Abi Jaber, Omar El Euch
Publikováno v:
SIAM Journal on Financial Mathematics. 10:309-349
Rough volatility models are very appealing because of their remarkable fit of both historical and implied volatilities. However, due to the non-Markovian and nonsemimartingale nature of the volatil...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7c8f5bccb52d8f809de5357df2761d25
https://doi.org/10.1137/18m1170236
https://doi.org/10.1137/18m1170236
Publikováno v:
Mathematical Finance
We address the mechanism design problem of an exchange setting suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we provide the optimal compensation scheme of a market maker in quasi-explicit form. This c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cd4567da5bb253ffb6567e289a326367
We address the mechanism design problem of an exchange setting suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we provide the optimal compensation scheme of a market maker in quasi-explicit form. This c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::340e9966a23e85a5990790c9647c2243
https://hal.archives-ouvertes.fr/hal-02379592
https://hal.archives-ouvertes.fr/hal-02379592
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for at-the-mon
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a4c3135fe1e1f0fd165a7e236c9a6fad
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e254597a84c1de20a7e069df70c15762
https://doi.org/10.2139/ssrn.3116887
https://doi.org/10.2139/ssrn.3116887
Autor:
Omar El Euch, Mathieu Rosenbaum
Publikováno v:
Ann. Appl. Probab. 28, no. 6 (2018), 3813-3856
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However, managing the risks of derivatives under rough volatili
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d20ac3b1918587a0b1861cff864925f8
Publikováno v:
Finance and Stochastics
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in this mode
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f1e4a559fd6e2b57eccd6313106ffe05
http://arxiv.org/abs/1609.05177
http://arxiv.org/abs/1609.05177
Autor:
Omar El Euch, Mathieu Rosenbaum
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::22fd5c90670bad3231ed3a805ad6dad1