Productivity losses from financial frictions: Can self-financing undo capital misallocation?

B Moll - American Economic Review, 2014 - aeaweb.org
I develop a highly tractable general equilibrium model in which heterogeneous producers
face collateral constraints, and study the effect of financial frictions on capital misallocation …

Sequential sampling strategy for extreme event statistics in nonlinear dynamical systems

MA Mohamad, TP Sapsis - Proceedings of the National …, 2018 - National Acad Sciences
We develop a method for the evaluation of extreme event statistics associated with nonlinear
dynamical systems from a small number of samples. From an initial dataset of design points …

Lifting the Heston model

E Abi Jaber - Quantitative finance, 2019 - Taylor & Francis
How to reconcile the classical Heston model with its rough counterpart? We introduce a
lifted version of the Heston model with n multi-factors, sharing the same Brownian motion but …

Deep calibration of the quadratic rough Heston model

M Rosenbaum, J Zhang - arXiv preprint arXiv:2107.01611, 2021 - arxiv.org
The quadratic rough Heston model provides a natural way to encode Zumbach effect in the
rough volatility paradigm. We apply multi-factor approximation and use deep learning …

Portfolio optimization with ambiguous correlation and stochastic volatilities

JP Fouque, CS Pun, HY Wong - SIAM Journal on Control and Optimization, 2016 - SIAM
In a continuous-time economy, we investigate the asset allocation problem among a risk-
free asset and two risky assets with an ambiguous correlation between the two risky assets …

[图书][B] Rough volatility

Since we will never really know why the prices of financial assets move, we should at least
make a faithful model of how they move. This was the motivation of Bachelier in 1900, when …

Portfolio optimization and stochastic volatility asymptotics

JP Fouque, R Sircar, T Zariphopoulou - Mathematical Finance, 2017 - Wiley Online Library
We study the Merton portfolio optimization problem in the presence of stochastic volatility
using asymptotic approximations when the volatility process is characterized by its …

Time‐Varying Asset Volatility and the Credit Spread Puzzle

D Du, R Elkamhi, J Ericsson - The Journal of Finance, 2019 - Wiley Online Library
Most extant structural credit risk models underestimate credit spreads—a shortcoming
known as the credit spread puzzle. We consider a model with priced stochastic asset risk …

Asymptotic behavior of the fractional Heston model

H Guennoun, A Jacquier, P Roome, F Shi - SIAM Journal on Financial …, 2018 - SIAM
We consider the fractional Heston model originally proposed by Comte, Coutin, and Renault
[Ann. Finance, 8 (2012), pp. 337--378]. Inspired by recent groundbreaking work on rough …

[图书][B] Analytically tractable stochastic stock price models

A Gulisashvili - 2012 - books.google.com
Asymptotic analysis of stochastic stock price models is the central topic of the present
volume. Special examples of such models are stochastic volatility models, that have been …