7 papers
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…
Natural Language Processing for Financial Regulation
Ixandra Achitouv, Dragos Gorduza, Antoine Jacquier
This article provides an understanding of Natural Language Processing techniques in the framework of financial regulation, more specifically in order to perform semantic matching s…
Transportation-cost inequalities for non-linear Gaussian functionals
Ioannis Gasteratos, Antoine Jacquier
We study concentration properties for laws of non-linear Gaussian functionals on metric spaces. Our focus lies on measures with non-Gaussian tail behaviour which are beyond the rea…
PDE for : a rough volatility context
Ofelia Bonesini, Antoine Jacquier
Recent mathematical advances in the context of rough volatility have highlighted interesting and intricate connections between path-dependent partial differential equations and bac…
Functional quantization of rough volatility and applications to volatility derivatives
Ofelia Bonesini, Giorgia Callegaro, Antoine Jacquier
We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pag…
Functional central limit theorems for rough volatility
Blanka Horvath, Antoine Jacquier, Aitor Muguruza +1
The non-Markovian nature of rough volatility processes makes Monte Carlo methods challenging and it is in fact a major challenge to develop fast and accurate simulation algorithms.…