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math.OC2021
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…
q-fin.PR2021
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…