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 …

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 …

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 …

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 …

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 …

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 …

We study the Merton portfolio optimization problem in the presence of stochastic volatility
using asymptotic approximations when the volatility process is characterized by its …

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 …

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 …

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 …