64 citations · 204 across the 26 of their papers we have counts for
Showing 2019 · q-fin.PRShow all
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q-fin.PR2019
Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
Antoine Jacquier, Lorenzo Torricelli
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponentia…
q-fin.PR2019★ 6 cited
Deep Curve-dependent PDEs for affine rough volatility
Antoine Jacquier, Mugad Oumgari
We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent…