6 citations · 7 across the 10 of their papers we have counts for
11 papers
Mean-field model for pollution abatement via cap and trade mechanism
Ofelia Bonesini, Giacomo Lanaro
We consider a mean-field model of competitive firms operating under an AK production technology, where output is proportional to capital and production generates emissions. In this…
Rough differential equations for volatility
Ofelia Bonesini, Emilio Ferrucci, Ioannis Gasteratos +1
We introduce a canonical way of performing the joint lift of a Brownian motion and a low-regularity adapted stochastic rough path , extending [Diehl, Oberhauser and…
Continuous-time persuasion by filtering
René Aïd, Ofelia Bonesini, Giorgia Callegaro +1
We frame dynamic persuasion in a partial observation stochastic control Leader-Follower game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional uno…
Risk premium and rough volatility
Ofelia Bonesini, Antoine Jacquier, Aitor Muguruza
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pric…
PDE for : a rough volatility context
Ofelia Bonesini, Antoine Jacquier
Recent mathematical advances in the context of rough volatility have highlighted interesting and intricate connections between path-dependent partial differential equations and bac…
Efficient simulation of a new class of Volterra-type SDEs
Ofelia Bonesini, Giorgia Callegaro, Martino Grasselli +1
We propose a new theoretical framework that exploits convolution kernels to transform a Volterra-type path-dependent (non-Markovian) stochastic process into a standard (Markovian)…
Rough volatility, path-dependent PDEs and weak rates of convergence
Ofelia Bonesini, Antoine Jacquier, Alexandre Pannier
In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-depende…
Correlated equilibria for mean field games with progressive strategies
Ofelia Bonesini, Luciano Campi, Markus Fischer
In a discrete space and time framework, we study the mean field game limit for a class of symmetric -player games based on the notion of correlated equilibrium. We give a defini…
A McKean-Vlasov game of commodity production, consumption and trading
René Aïd, Ofelia Bonesini, Giorgia Callegaro +1
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the co…
Functional quantization of rough volatility and applications to volatility derivatives
Ofelia Bonesini, Giorgia Callegaro, Antoine Jacquier
We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pag…
A theoretical analysis of Guyon's toy volatility model
Ofelia Bonesini, Antoine Jacquier, Chloe Lacombe
We provide a thorough analysis of the path-dependent volatility model introduced by Guyon \cite{G17}, proving existence and uniqueness of a strong solution, characterising its beha…