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2019-11-19Zeitschriftenartikel DOI: 10.18452/24992
A regularity structure for rough volatility
dc.contributor.authorBayer, Christian
dc.contributor.authorFriz, Peter
dc.contributor.authorGassiat, Paul
dc.contributor.authorMartin, Jorg
dc.contributor.authorStemper, Benjamin
dc.date.accessioned2022-07-12T06:55:58Z
dc.date.available2022-07-12T06:55:58Z
dc.date.issued2019-11-19none
dc.date.updated2020-10-19T12:56:17Z
dc.identifier.urihttp://edoc.hu-berlin.de/18452/25675
dc.description.abstractA new paradigm has emerged recently in financial model-ing: rough (stochastic) volatility. First observed by Gatheralet al. in high-frequency data, subsequently derived withinmarket microstructure models, rough volatility capturesparsimoniously key-stylized facts of the entire impliedvolatility surface, including extreme skews (as observedearlier by Alòs et al.) that were thought to be outside thescope of stochastic volatility models. On the mathematicalside, Markovianity and, partially, semimartingality are lost.In this paper, we show that Hairer’s regularity structures, amajor extension of rough path theory, which caused a rev-olution in the field of stochastic partial differential equa-tions, also provide a new and powerful tool to analyze roughvolatility models.eng
dc.description.sponsorshipDFG http://dx.doi.org/10.13039/501100001659
dc.description.sponsorshipERC http://dx.doi.org/10.13039/501100000781
dc.description.sponsorshipANR http://dx.doi.org/10.13039/501100001665
dc.language.isoengnone
dc.publisherHumboldt-Universität zu Berlin
dc.rights(CC BY 4.0) Attribution 4.0 Internationalger
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subject.ddc510 Mathematiknone
dc.titleA regularity structure for rough volatilitynone
dc.typearticle
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/25675-1
dc.identifier.doihttp://dx.doi.org/10.18452/24992
dc.type.versionpublishedVersionnone
local.edoc.pages51none
local.edoc.type-nameZeitschriftenartikel
local.edoc.container-typeperiodical
local.edoc.container-type-nameZeitschrift
dc.description.versionPeer Reviewednone
dcterms.bibliographicCitation.doi10.1111/mafi.12233none
dcterms.bibliographicCitation.journaltitleMathematical Financenone
dcterms.bibliographicCitation.volume30none
dcterms.bibliographicCitation.issue3none
dcterms.bibliographicCitation.pagestart782none
dcterms.bibliographicCitation.pageend832none
bua.departmentMathematisch-Naturwissenschaftliche Fakultätnone

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