5 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…
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…
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…
Mean-Field Liquidation Games with Market Drop-out
Guanxing Fu, Paul P. Hager, Ulrich Horst
We consider a novel class of portfolio liquidation games with market drop-out ("absorption"). More precisely, we consider mean-field and finite player liquidation games where a pla…