2 papers
q-fin.PR2023
Closed-form solutions for VIX derivatives in a Legendre empirical model
Ying-Li Wang, Cheng-Long Xu, Ping He
In this paper, we introduce a data-driven, single-parameter Markov diffusion model for the VIX. The volatility factor evolves in with a uniform invariant distribution ensu…
math.PR2023
Precise Deviations for discrete marked Hawkes processes
Yingli Wang, Ping He
In this paper, we study precise deviations including precise large deviations and moderate deviations for discrete marked Hawkes processes for large time asymptotics by using mod-$…