28 citations · 58 across the 11 of their papers we have counts for
16 papers
Understanding the worst-kept secret of high-frequency trading
Sergio Pulido, Mathieu Rosenbaum, Emmanouil Sfendourakis
Volume imbalance in a limit order book is often considered as a reliable indicator for predicting future price moves. In this work, we seek to analyse the nuances of the relationsh…
The rough Hawkes Heston stochastic volatility model
Alessandro Bondi, Sergio Pulido, Simone Scotti
We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stocha…
Existence of optimal controls for stochastic Volterra equations
Andrés Cárdenas, Sergio Pulido, Rafael Serrano
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (…
Affine Volterra processes with jumps
Alessandro Bondi, Giulia Livieri, Sergio Pulido
The theory of affine processes has been recently extended to the framework of stochastic Volterra equations with continuous trajectories. These so-called affine Volterra processes…
American options in the Volterra Heston model
Etienne Chevalier, Sergio Pulido, Elizabeth Zúñiga
We price American options using kernel-based approximations of the Volterra Heston model. We choose these approximations because they allow simulation-based techniques for pricing.…
A weak solution theory for stochastic Volterra equations of convolution type
Eduardo Abi Jaber, Christa Cuchiero, Martin Larsson +1
We obtain general weak existence and stability results for stochastic convolution equations with jumps under mild regularity assumptions, allowing for non-Lipschitz coefficients an…
Affine Rough Models
Martin Keller-Ressel, Martin Larsson, Sergio Pulido
The goal of this survey article is to explain and elucidate the affine structure of recent models appearing in the rough volatility literature, and show how it leads to exponential…
Density of the set of probability measures with the martingale representation property
Dmitry Kramkov, Sergio Pulido
Let be a multi-dimensional random variable. We show that the set of probability measures such that the -martingale $S^{\mathbb{Q}}_t=\mathbb{E}^{\mathb…
Affine Volterra processes
Eduardo Abi Jaber, Martin Larsson, Sergio Pulido
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special…
Markov cubature rules for polynomial processes
Damir Filipović, Martin Larsson, Sergio Pulido
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together w…
The Jacobi Stochastic Volatility Model
Damien Ackerer, Damir Filipović, Sergio Pulido
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show th…
Financial Models with Defaultable Numéraires
Travis Fisher, Sergio Pulido, Johannes Ruf
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classi…
Polynomial diffusions on compact quadric sets
Martin Larsson, Sergio Pulido
Polynomial processes are defined by the property that conditional expectations of polynomial functions of the process are again polynomials of the same or lower degree. Many fundam…
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
Dmitry Kramkov, Sergio Pulido
We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices…
A system of quadratic BSDEs arising in a price impact model
Dmitry Kramkov, Sergio Pulido
We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices…
The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions
Sergio Pulido
This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuous-time financial models where asset…