50 citations · 244 across the 25 of their papers we have counts for
26 papers
Volatility of Volatility and Leverage Effect from Options
Carsten H. Chong, Viktor Todorov
We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time…
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 i…
Pre-averaging fractional processes contaminated by noise, with an application to turbulence
David Chen, Yu Cheng, Carsten Chong +4
In this article, we consider the problem of estimating fractional processes based on noisy high-frequency data. Generalizing the idea of pre-averaging to a fractional setting, we e…
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…
Statistical inference for rough volatility: Minimax Theory
Carsten Chong, Marc Hoffmann, Yanghui Liu +2
Rough volatility models have gained considerable interest in the quantitative finance community in recent years. In this paradigm, the volatility of the asset price is driven by a…
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 characte…
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…
A landscape of peaks: The intermittency islands of the stochastic heat equation with Lévy noise
Carsten Chong, Péter Kevei
We show that the spatial profile of the solution to the stochastic heat equation features multiple layers of intermittency islands if the driving noise is non-Gaussian. On the one…
Extremes of the stochastic heat equation with additive Lévy noise
Carsten Chong, Péter Kevei
We analyze the spatial asymptotic properties of the solution to the stochastic heat equation driven by an additive Lévy space-time white noise. For fixed time and space $x…
The stochastic heat equation with multiplicative Lévy noise: Existence, moments, and intermittency
Quentin Berger, Carsten Chong, Hubert Lacoin
We study the stochastic heat equation (SHE) driven by a multiplicative Lévy noise with positive jumps and amplitude , in arbitrary dimen…
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…
Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs
Carsten Chong, Robert C. Dalang
We consider a class of parabolic stochastic PDEs on bounded domains that includes the stochastic heat equation, but with a fractional power of the Lapl…
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…
Normal approximation of the solution to the stochastic heat equation with Lévy noise
Carsten Chong, Thomas Delerue
Given a sequence of Lévy noises, we derive necessary and sufficient conditions in terms of their variances such that the solution to the…
The almost-sure asymptotic behavior of the solution to the stochastic heat equation with Lévy noise
Carsten Chong, Péter Kevei
We examine the almost-sure asymptotics of the solution to the stochastic heat equation driven by a Lévy space-time white noise. When a spatial point is fixed and time tends to infi…
High-frequency analysis of parabolic stochastic PDEs
Carsten Chong
We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequen…
Path properties of the solution to the stochastic heat equation with Lévy noise
Carsten Chong, Robert C. Dalang, Thomas Humeau
We consider sample path properties of the solution to the stochastic heat equation, in or bounded domains of , driven by a Lévy space-time white noise.…
Intermittency for the stochastic heat equation with Lévy noise
Carsten Chong, Péter Kevei
We investigate the moment asymptotics of the solution to the stochastic heat equation driven by a -dimensional Lévy space--time white noise. Unlike the case of Gaussian nois…
Contagion in financial systems: A Bayesian network approach
Carsten Chong, Claudia Klüppelberg
We develop a structural default model for interconnected financial institutions in a probabilistic framework. For all possible network structures we characterize the joint default…
Volterra-type Ornstein-Uhlenbeck processes in space and time
Viet Son Pham, Carsten Chong
We propose a novel class of tempo-spatial Ornstein-Uhlenbeck processes as solutions to Lévy-driven Volterra equations with additive noise and multiplicative drift. After formulatin…
Stochastic PDEs with heavy-tailed noise
Carsten Chong
We analyze the nonlinear stochastic heat equation driven by heavy-tailed noise in free space and arbitrary dimension. The existence of a solution is proved even if the noise only h…
Partial mean field limits in heterogeneous networks
Carsten Chong, Claudia Klüppelberg
We investigate systems of interacting stochastic differential equations with two kinds of heterogeneity: one originating from different weights of the linkages, and one concerning…
Simulation of stochastic Volterra equations driven by space--time Lévy noise
Bohan Chen, Carsten Chong, Claudia Klüppelberg
In this paper we investigate two numerical schemes for the simulation of stochastic Volterra equations driven by space--time Lévy noise of pure-jump type. The first one is based on…
Lévy-driven Volterra equations in space and time
Carsten Chong
We investigate nonlinear stochastic Volterra equations in space and time that are driven by Lévy bases. Under a Lipschitz condition on the nonlinear term, we give existence and uni…