On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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2 results for “log-modulated”

Log-modulated rough stochastic volatility modelsq-fin.MF

New rough stochastic volatility models using log-modulated fractional Brownian motion.

problem Analyzing rough stochastic volatility models over the range

0 \le H < 1/2

method Introducing log-modulated fractional Brownian motion (log-fBm) to handle

H = 0

and analyze over the full range.

result Obtained skew asymptotics of

\log(1/T)^{-p} T^{H-1/2}

T o 0

for

H \ge 0

, no flattening of skew as

H o 0

stochastic volatility rough volatility fractional Brownian motion log-modulated asymptotics

2020-08-07abs ↗pdf ↗

Short-time asymptotics for non self-similar stochastic volatility modelsq-fin.MF

Study provides LDP for non self-similar stochastic volatility models.

problem Analyzing non self-similar stochastic volatility models.

method Short-time large deviation principle (LDP) for models with Volterra process.

result Derives consequences for option prices, implied volatility surfaces, and skew.

stochastic volatility Volterra process large deviation principle rough volatility fractional Brownian motion

2022-04-21abs ↗pdf ↗