4 papers
Expanding the rough Heston model in
Paul P. Hager, Dörte Kreher
We study the dependence of the fractional Riccati equation in the rough Heston model on the Hurst parameter . For each expansion point , we derive a Taylor exp…
Microstructural Foundation of Rough Log-Normal Volatility Models
Paul P. Hager, Ulrich Horst, Thomas Wagenhofer +1
We establish a microstructural foundation of the rough Bergomi model. Specifically, we consider a sequence of order driven financial market models where orders to buy or sell an as…
A Mean-Field Game of Market Entry: Portfolio Liquidation with Trading Constraints
Guanxing Fu, Paul P. Hager, Ulrich Horst
We consider both -player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially…
Stochastic Control with Signatures
P. Bank, C. Bayer, P. P. Hager +2
This paper proposes to parameterize open loop controls in stochastic optimal control problems via suitable classes of functionals depending on the driver's path signature, a concep…