3 papers
math.PR2020
Large deviations for fractional volatility models with non-Gaussian volatility driver
Stefan Gerhold, Christoph Gerstenecker, Archil Gulisashvili
We study stochastic volatility models in which the volatility process is a function of a continuous fractional stochastic process, which is an integral transform of the solution of…
math.PR2019
Large deviations related to the law of the iterated logarithm for Ito diffusions
Stefan Gerhold, Christoph Gerstenecker
When a Brownian motion is scaled according to the law of the iterated logarithm, its supremum converges to one as time tends to zero. Upper large deviations of the supremum process…
q-fin.MF2018
Moment Explosions in the Rough Heston Model
Stefan Gerhold, Christoph Gerstenecker, Arpad Pinter
We show that the moment explosion time in the rough Heston model [El Euch, Rosenbaum 2016, arxiv:1609.02108] is finite if and only if it is finite for the classical Heston model. U…