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Found 4 papers, 0 papers with code
Real-Time Detection of Local No-Arbitrage Violations
This paper focuses on the task of detecting local episodes involving violation of the standard It\^o semimartingale assumption for financial asset prices in real time that might induce arbitrage opportunities.
Volatility of Volatility and Leverage Effect from Options
The leverage effect estimator is the sample covariance between price increments and the estimated volatility increments.
Asymptotic Expansions for High-Frequency Option Data
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments.
Short-time expansion of characteristic functions in a rough volatility setting with applications
We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an It\^o semimartingale over a shrinking time interval.
