most citedIn-Sample and Out-of-Sample Sharpe Ratios for Linear Predictive Models

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q-fin.PR2025

Rough Bergomi turns grey

Antoine Jacquier, Adriano Oliveri Orioles, Zan Zuric

We propose a tractable extension of the rough Bergomi model, replacing the fractional Brownian motion with a generalised grey Brownian motion, which we show to be reminiscent of mo…

q-fin.PR2016

The randomised Heston model

Antoine Jacquier, Fangwei Shi

We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a…