6 citations · 6 across the 2 of their papers we have counts for
6 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 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…
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…
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…
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)…
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…