-
1Academic Journal
المؤلفون: Bondi, Alessandro, Pulido, Sergio, Scotti, Simone
المساهمون: Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE)-Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), The research of Sergio Pulido benefited from the financial support of the chairs "Deep finance & Statistics" and "Machine Learning & systematic methods in finance" of École Polytechnique. Sergio Pulido and Simone Scotti acknowledge support by the Europlace Institute of Finance (EIF) and the Labex Louis Bachelier, research project: "The impact of information on financial markets".
المصدر: ISSN: 0960-1627.
مصطلحات موضوعية: Stochastic volatility, Rough volatility, Hawkes processes, Jump clusters, Leverage effect, affine Volterra processes, VIX, joint calibration of S&, P 500 and VIX smiles, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C63 - Computational Techniques • Simulation Modeling, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing, [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR], [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]
-
2Report
المؤلفون: Bondi, Alessandro, Pulido, Sergio, Scotti, Simone
المساهمون: Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE), Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise (ENSIIE)-Université d'Évry-Val-d'Essonne (UEVE)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), The research of Sergio Pulido benefited from the financial support of the chairs "Deep finance & Statistics" and "Machine Learning & systematic methods in finance" of École Polytechnique. Sergio Pulido and Simone Scotti acknowledge support by the Europlace Institute of Finance (EIF) and the Labex Louis Bachelier, research project: "The impact of information on financial markets".
المصدر: https://hal.science/hal-03827332 ; 2022.
مصطلحات موضوعية: Stochastic volatility, Rough volatility, Hawkes processes, Jump clusters, Leverage effect, affine Volterra processes, VIX, joint calibration of S&P 500 and VIX smiles, JEL: C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C63 - Computational Techniques • Simulation Modeling, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates, JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G13 - Contingent Pricing • Futures Pricing, [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR], [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP], [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
Relation: hal-03827332; https://hal.science/hal-03827332; https://hal.science/hal-03827332/document; https://hal.science/hal-03827332/file/roughHeston_jumps_Oct_20_2022_SSRN.pdf