Ofelia Bonesini
YOU?
Author Swipe
View article: Rough differential equations for volatility
Rough differential equations for volatility Open
We introduce a canonical way of performing the joint lift of a Brownian motion $W$ and a low-regularity adapted stochastic rough path $\mathbf{X}$, extending [Diehl, Oberhauser and Riedel (2015). A Lévy area between Brownian motion and rou…
View article: Continuous-time persuasion by filtering
Continuous-time persuasion by filtering Open
We frame dynamic persuasion in a partial observation stochastic control Leader-Follower game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional unobserved state process. Information is provided to the Recei…
View article: Correlated Equilibria for Mean Field Games with Progressive Strategies
Correlated Equilibria for Mean Field Games with Progressive Strategies Open
In a discrete space and time framework, we study the mean field game limit for a class of symmetric N-player games based on the notion of correlated equilibrium. We give a definition of correlated solution that allows us to construct appro…
View article: Risk premium and rough volatility
Risk premium and rough volatility Open
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pricing purposes. On the other hand, market price of volatility…
View article: Functional quantization of rough volatility and applications to volatility derivatives
Functional quantization of rough volatility and applications to volatility derivatives Open
We develop a product functional quantization of rough volatility. Since the optimal quantizers can be computed offline, this new technique, built on the insightful works by [Luschgy, H. and Pagès, G., Functional quantization of Gaussian pr…
View article: $\mathfrak{X}$PDE for $\mathfrak{X} \in \{\mathrm{BS},\mathrm{FBS}, \mathrm{P}\}$: a rough volatility context
$\mathfrak{X}$PDE for $\mathfrak{X} \in \{\mathrm{BS},\mathrm{FBS}, \mathrm{P}\}$: a rough volatility context Open
Recent mathematical advances in the context of rough volatility have highlighted interesting and intricate connections between path-dependent partial differential equations and backward stochastic partial differential equations. In this no…
View article: Efficient simulation of a new class of Volterra-type SDEs
Efficient simulation of a new class of Volterra-type SDEs Open
We propose a new theoretical framework that exploits convolution kernels to transform a Volterra-type path-dependent (non-Markovian) stochastic process into a standard (Markovian) diffusion process. Remarkably, it is also possible to go ba…
View article: Rough volatility, path-dependent PDEs and weak rates of convergence
Rough volatility, path-dependent PDEs and weak rates of convergence Open
In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-dependent PDEs. The latter arise from the functional Itô formula d…
View article: Correlated equilibria for mean field games with progressive strategies
Correlated equilibria for mean field games with progressive strategies Open
In a discrete space and time framework, we study the mean field game limit for a class of symmetric $N$-player games based on the notion of correlated equilibrium. We give a definition of correlated solution that allows to construct approx…
View article: A McKean–Vlasov Game of Commodity Production, Consumption and Trading
A McKean–Vlasov Game of Commodity Production, Consumption and Trading Open
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short pos…
View article: A McKean-Vlasov game of commodity production, consumption and trading
A McKean-Vlasov game of commodity production, consumption and trading Open
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short pos…
View article: Functional quantization of rough volatility and applications to volatility derivatives
Functional quantization of rough volatility and applications to volatility derivatives Open
We develop a product functional quantization of rough volatility. Since the quantizers can be computed offline, this new technique, built on the insightful works by Luschgy and Pages, becomes a strong competitor in the new arena of numeric…