177 citations · 238 across the 18 of their papers we have counts for
4 papers · 1 filter
Using Machine Learning to Predict Realized Variance
Peter Carr, Liuren Wu, Zhibai Zhang
In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. W…
A lognormal type stochastic volatility model with quadratic drift
Peter Carr, Sander Willems
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dis…
A model-free backward and forward nonlinear PDEs for implied volatility
Peter Carr, Andrey Itkin, Sasha Stoikov
We derive a backward and forward nonlinear PDEs that govern the implied volatility of a contingent claim whenever the latter is well-defined. This would include at least any contin…
ADOL - Markovian approximation of rough lognormal model
Peter Carr, Andrey Itkin
In this paper we apply Markovian approximation of the fractional Brownian motion (BM), known as the Dobric-Ojeda (DO) process, to the fractional stochastic volatility model where t…