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Found 4 papers, 0 papers with code
Crypto Inverse-Power Options and Fractional Stochastic Volatility
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market.
Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as patience, socialization effects, and market volatility.
Regulating stochastic clocks
Stochastic clocks represent a class of time change methods for incorporating trading activity into continuous-time financial models, with the ability to deal with typical asymmetrical and tail risks in financial returns.
Power-type derivatives for rough volatility with jumps
In this paper we propose a novel pricing-hedging framework for volatility derivatives which simultaneously takes into account rough volatility and volatility jumps.
