Publicação
Pseudo rough vol-of-vol through Markovian approximation
| dc.contributor.author | Guerreiro, Henrique | |
| dc.contributor.author | Guerra, João | |
| dc.date.accessioned | 2024-02-22T13:52:13Z | |
| dc.date.available | 2024-02-22T13:52:13Z | |
| dc.date.issued | 2024-02 | |
| dc.description.abstract | We discuss a possible framework for a (pseudo) rough vol-of-vol model through a multi-factor Markovian approximation of the vol-of-vol process. We identify a key martingale condition which may allow to express the VIX in terms of the solution of a certain Riccati ordinary differential equation. We derive this equation and provide sufficient conditions for the existence of solutions. We also provide some partial results regarding the martingale condition. In particular, we verify a local martingale condition. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Guerreiro, Henrique e João Guerra (2024). "Pseudo rough vol-of-vol through Markovian approximation". REM Working paper series, nº 0310/2024 | pt_PT |
| dc.identifier.issn | 2184-108X | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/30181 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | ISEG – REM (Research in Economics and Mathematics) | pt_PT |
| dc.relation | SFRH/BD/147161/2019 | pt_PT |
| dc.relation | CEMAPRE/REM-UiDB/05069/2020 | pt_PT |
| dc.relation.ispartofseries | REM Working paper series;nº 0310/2024 | |
| dc.relation.publisherversion | https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_0310_2024.pdf | pt_PT |
| dc.subject | VIX | pt_PT |
| dc.subject | rough volatility | pt_PT |
| dc.subject | Markovian approximation | pt_PT |
| dc.subject | exponentially affine process | pt_PT |
| dc.title | Pseudo rough vol-of-vol through Markovian approximation | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |