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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorAbi Jaber, Eduardo
dc.date.accessioned2019-12-20T10:59:33Z
dc.date.available2019-12-20T10:59:33Z
dc.date.issued2019
dc.identifier.issn1469-7688
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/20362
dc.language.isoenen
dc.subjectimplied volatilityen
dc.subjectStochastic volatilityen
dc.subjectrough volatilityen
dc.subjectRiccati equationsen
dc.subjectaffine Volterra processesen
dc.subject.ddc519en
dc.titleLifting the Heston modelen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenHow 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 mean reverting at different speeds. Our model nests as extreme cases the classical Heston model (when n=1), and the rough Heston model (when n goes to infinity). We show that the lifted model enjoys the best of both worlds: Markovianity, satisfactory fits of implied volatility smiles for short maturities with very few parameters, and consistency with the statistical roughness of the realized volatility time series. Furthermore, our approach speeds up the calibration time and opens the door to time-efficient simulation schemes.en
dc.relation.isversionofjnlnameQuantitative Finance
dc.relation.isversionofjnlvol19en
dc.relation.isversionofjnlissue12en
dc.relation.isversionofjnldate2019-07
dc.relation.isversionofjnlpages1995-2013en
dc.relation.isversionofdoi10.1080/14697688.2019.1615113en
dc.relation.isversionofjnlpublisherTaylor & Francisen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-12-20T10:57:48Z
hal.author.functionaut


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