6 citations · 7 across the 10 of their papers we have counts for
3 papers · 1 filter
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…