ADOL: Markovian approximation of a rough lognormal model
A variation of the rough volatility model is introduced by plugging in a different stochastic process
CLICK HERE TO VIEW THE PDF
Peter Carr and Andrey Itkin apply a Markovian approximation of the fractional Brownian motion, known as the Dobrić-Ojeda process, to the fractional stochastic volatility model, where the instantaneous variance is modelled using a lognormal process with drift and fractional diffusion
Gatheral et al (2014) discovered that historical volatility time series exhibit behaviour that is much rougher than that of a Brownian motion for a wide range of assets. These authors
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Banking
Information geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
The carbon equivalence principle: methods for project finance
A method to price the environmental impact of financial products is proposed
Funding, wealth transfer and financial stability in the post-Libor era
Adjusting RFR with a funding premium may aid economic growth and stability
Dealing with multi-currency inventory risk in FX cash markets
A market-making model that considers correlation, transaction costs and market impact is presented
Momentum transformer: an interpretable deep learning trading model
An attention-based deep learning model for trading is presented
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
