5 citations · 10 across the 10 of their papers we have counts for
10 papers
Adaptive Learning via Off-Model Training and Importance Sampling for Fully Non-Markovian Optimal Stochastic Control. Complete version
Dorival Leão, Alberto Ohashi, Simone Scotti +1
This paper studies continuous-time stochastic control problems whose controlled states are fully non-Markovian and depend on unknown model parameters. Such problems arise naturally…
The rough Hawkes Heston stochastic volatility model
Alessandro Bondi, Sergio Pulido, Simone Scotti
We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stocha…
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data
Maria Elvira Mancino, Simone Scotti, Giacomo Toscano
We empirically investigate the functional link between the variance swap rate and the spot variance. Using S\&P500 data over the period 2006-2018, we find overwhelming empirical ev…
The Alpha-Heston Stochastic Volatility Model
Ying Jiao, Chunhua Ma, Simone Scotti +1
We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by -stable processes with . In this framewor…
Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
Ying Jiao, Chunhua Ma, Simone Scotti
We introduce a class of interest rate models, called the -CIR model, which gives a natural extension of the standard CIR model by adopting the -stable L{é}vy process and pres…
Asset Pricing under uncertainty
Simone Scotti
We study the effect of parameter uncertainty on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, using methods from the theory of Dirichl…