WebIn this paper, we consider equilibrium strategies under Volterra processes and time-inconsistent preferences embracing mean-variance portfolio selection (MVP). Using a functional Itô calculus approach, we overcome the non-Markovian and nonsemimartingale difficulty in Volterra processes. The equilibrium strategy is then characterized by an … WebXiaohu WANG is an associate professor at the School of Economics, Fudan University. His research focuses on financial econometrics, econometric theory and empirical asset pricing. He primarily works on topics related to rough volatility models, bubble testing, structural breaks, and estimation and inference of continuous-time models.

If volatility be rough with you, be rough with volatility - BSIC

WebThe Rough Fractional Stochastic Volatility Model (RFSV) The RFSV model [1] assumes that X is defined as the solution of the following stochastic differential equation: d X t = ν d W t … WebOct 13, 2014 · Volatility is rough. Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that log … fabric covered studded chest of drawers

From quadratic Hawkes processes to rough volatility and …

WebJul 9, 2024 · density of MSFT 10-day implied volatility roughness index estimate. The mean is 0.350 with a standard deviation of 0.049. Roughness is apparent in the 10-day implied volatility, with H=0.35. For the 60-day implied vol, I measure a roughness H=0.41 with a deviation of 0.06, so again not significantly different from the standard Brownian motion ... WebH∼0.1 generates very rough looking sample paths (compared with H=1/2 for Brownian motion), therefore the name “rough volatility”. We can find fractal-type behavior, because … WebRough Volatility. New insights about the regularity of the instantaneous variance obtained from realized variance data (see Gatheral, Jaisson, and Rosenbaum (), Bennedsen, Lunde, … fabric cover for bar stool chairs