英文标题：
《Perfect hedging in rough Heston models》
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作者：
Omar El Euch and Mathieu Rosenbaum
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最新提交年份：
2017
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英文摘要：
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However, managing the risks of derivatives under rough volatility can be intricate since the dynamics involve fractional Brownian motion. We show in this paper that surprisingly enough, explicit hedging strategies can be obtained in the case of rough Heston models. The replicating portfolios contain the underlying asset and the forward variance curve, and lead to perfect hedging (at least theoretically). From a probabilistic point of view, our study enables us to disentangle the infinite-dimensional Markovian structure associated to rough volatility models.
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中文摘要：
众所周知，粗糙波动率模型可以再现历史波动率数据的行为，同时可以非常好地拟合波动率曲面，参数非常少。然而，由于动力学涉及分数布朗运动，在粗糙波动率下管理衍生品的风险可能很复杂。我们在本文中证明，令人惊讶的是，在粗糙Heston模型的情况下，可以得到明确的套期保值策略。复制投资组合包含基础资产和远期方差曲线，并导致完美的对冲（至少在理论上）。从概率的角度来看，我们的研究使我们能够解开与粗糙波动率模型相关的无限维马尔可夫结构。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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