28 citations · 58 across the 11 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
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…