论文标题
隐含波动率表面的高频动力学
High-frequency dynamics of the implied volatility surface
论文作者
论文摘要
我们介绍了波动率表面高频动力学的霍克斯建模，并展示了霍克斯内核系数如何控制表面的偏斜和凸度。我们在系数上提供了简单的条件，以确保表面没有责任机会。此外，这些条件减少了内核参数的估计数量。最后，我们表明，在宏观水平上，表面是由波动率过程粗糙的风险因素总和驱动的。
We present a Hawkes modeling of the volatility surface's high-frequency dynamics and show how the Hawkes kernel coefficients govern the surface's skew and convexity. We provide simple sufficient conditions on the coefficients to ensure no-arbitrage opportunities of the surface. Moreover, these conditions reduce the number of the kernel's parameters to estimate. Finally, we show that at the macroscopic level, the surface is driven by a sum of risk factors whose volatility processes are rough.
