6 papers
Asymptotic Expansions for High-Frequency Option Data
Carsten H. Chong, Viktor Todorov
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of Itô semimartingale increments. The asymptotics setup…
Short-time expansion of characteristic functions in a rough volatility setting with applications
Carsten H. Chong, Viktor Todorov
We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an Itô semimartingale over a shrinking time interval. The spot charact…
When Frictions are Fractional: Rough Noise in High-Frequency Data
Carsten H. Chong, Thomas Delerue, Guoying Li
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appe…
High-frequency analysis of parabolic stochastic PDEs with multiplicative noise
Carsten Chong
We consider the stochastic heat equation driven by a multiplicative Gaussian noise that is white in time and spatially homogeneous in space. Assuming that the spatial correlation f…
Rate-optimal estimation of mixed semimartingales
Carsten H. Chong, Thomas Delerue, Fabian Mies
Consider the sum of a Brownian motion and an independent fractional Brownian motion with Hurst parameter . Even though is not a semimartinga…
Statistical inference for rough volatility: Central limit theorems
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than…