112 citations · 479 across the 30 of their papers we have counts for
4 papers · 1 filter
Hybrid simulation scheme for volatility modulated moving average fields
Claudio Heinrich, Mikko S. Pakkanen, Almut E. D. Veraart
We develop a simulation scheme for a class of spatial stochastic processes called volatility modulated moving averages. A characteristic feature of this model is that the behaviour…
Turbocharging Monte Carlo pricing for the rough Bergomi model
Ryan McCrickerd, Mikko S. Pakkanen
The rough Bergomi model, introduced by Bayer, Friz and Gatheral [Quant. Finance 16(6), 887-904, 2016], is one of the recent rough volatility models that are consistent with the sty…
Hybrid marked point processes: characterisation, existence and uniqueness
Maxime Morariu-Patrichi, Mikko S. Pakkanen
We introduce a class of hybrid marked point processes, which encompasses and extends continuous-time Markov chains and Hawkes processes. While this flexible class amalgamates such…
Pathwise large deviations for the Rough Bergomi model
Antoine Jacquier, Mikko S. Pakkanen, Henry Stone
We study the small-time behaviour of the rough Bergomi model, introduced by Bayer, Friz and Gatheral (2016), and prove a large deviations principle for a rescaled version of the no…