arXiv research

SpotV2Net forecasts intraday spot volatilities using graph attention networks.

Research forecasts electricity spot prices using stochastic volatility models.

A new model adds stochastic spot/volatility correlation to Heston model for better exotic pricing.

TGARCH model shows CSI-300 futures reduce spot price volatility.

Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local volatility/stochastic volatility mixture model, where the mixture parameter tunes that covariance. T…

Estimates volatility of volatility and leverage effect using high-frequency options data.

The paper proves the consistency and efficiency of a volatility estimator in noisy data.

New method for spot volatility estimation with reduced microstructure noise.

Study Fourier estimator for spot volatility with unbounded coefficients and jumps.

We investigate the joint dynamics of spot and implied volatility from an empirical perspective. We focus on the equity market with the SPX Index our underlying of choice. Using only observable quantities, we extract the instantaneous variance curves implied by the market and study their daily variations jointly with sp…

This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot prices can be modelled di…

Empirical study finds variance swap rate is affine in spot variance for S&P500 data.

Study on estimating volatility of volatility using Fourier methods and provides insights into volatility dynamics.

This work proposes an objective method for spot volatility estimation of stochastic processes.

Enhanced volatility forecasting using options data and rough volatility model.

Model for commodity forward prices with stochastic volatility and decorrelation.

Study compares volatility models for Bitcoin, finds GARCH and EGARCH outperform.

Study confirms rough volatility in S&P500 options, with Hurst parameter 0.3.

It is well known that in models with time-homogeneous local volatility functions and constant interest and dividend rates, the European Put prices are transformed into European Call prices by the simultaneous exchanges of the interest and dividend rates and of the strike and spot price of the underlying. This paper inv…

The study examines volatility models and finds decoupling of short- and long-term correlation structures.

We prove that if the Black-Scholes formula holds with the spot volatility for call options with all strikes, then the volatility parameter is constant. The proof relies some result on semimartingales (Theorem 2) of independent interest.

In order to study the geometry of interest rates market dynamics, Malliavin, Mancino and Recchioni [A non-parametric calibration of the HJM geometry: an application of Itô calculus to financial statistics, {\it Japanese Journal of Mathematics}, 2, pp.55--77, 2007] introduced a scheme, which is based on the Fourier Seri…

Paper improves volatility estimation using a Queue-Reactive model.

Paper develops new spot regression estimators using candlesticks for asset pricing.

For a commodity spot price dynamics given by an Ornstein-Uhlenbeck process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing measures that simultaneously allow for change of level and speed in the mean reversion of both the price and the volatility. The risk premium i…

We derive a higher-order expansion for rough volatility models.

By Gyongy's theorem, a local and stochastic volatility (LSV) model is calibrated to the market prices of all European call options with positive maturities and strikes if its local volatility function is equal to the ratio of the Dupire local volatility function over the root conditional mean square of the stochastic v…

Study examines asymmetry impacts on Japanese stock market volatility modeling and forecasting.

New framework improves option pricing models by addressing volatility dynamics.

The paper analyzes Euler approximations for complex volatility models with strong convergence rates.

Model captures rough volatility and jump clustering in stock vol dynamics.

Let $σ_t(x)$ denote the implied volatility at maturity $t$ for a strike $K=S_0 e^{xt}$, where $x\in\bbR$ and $S_0$ is the current value of the underlying. We show that $σ_t(x)$ has a uniform (in $x$) limit as maturity $t$ tends to infinity, given by the formula $σ_\infty(x)=\sqrt{2}(h^*(x)^{1/2}+(h^*(x)-x)^{1/2})$, for…

We derive asymptotic expansions for option data to detect infinite variation volatility.

Study shows German day-ahead spot market becoming less volatile.

This paper contains a phenomenological description of the whole U.S. forward rate curve (FRC), based on an data in the period 1990-1996. We find that the average FRC (measured from the spot rate) grows as the square-root of the maturity, with a prefactor which is comparable to the spot rate volatility. This suggests th…

Cost-effective strategies for training machine learning models on volatile cloud instances.

Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.

The paper models asset prices with random volatility to match option prices.

In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit maximization problem of an agent, producing and storing a commodity while trading…

We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the anti-correlations are modeled in the same way as in an Ornstein-Uhlenbeck process, i.e. via…

A third-order approximation for close-to-the-money European option prices under an infinite-variation CGMY Lévy model is derived, and is then extended to a model with an additional independent Brownian component. The asymptotic regime considered, in which the strike is made to converge to the spot stock price as the ma…

In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous Itô semimartingale where the estimators are always non-negative definite. Since the estimators are factorized, computational cost will be saved a lot.

GG distribution improves option pricing for negatively skewed spot price distributions.

The electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of other speculative (commodity) markets like, for instance, data clustering and mean reversion. We apply the diffusion entropy analysis (DEA) to …

Study shows different price correlations in European electricity markets.

We solve the SLV model calibration problem using inverse-problem techniques.

The paper explains stock predictability by integrating rational finance without behavioral finance assumptions.

In this paper, we study the price of Variable Annuity Guarantees, especially of Guaranteed Annuity Options (GAO) and Guaranteed Minimum Income Benefit (GMIB), and this in the settings of a derivative pricing model where the underlying spot (the fund) is locally governed by a geometric Brownian motion with local volatil…