Université Paris Dauphine-PSL

A nested factor model for equity markets: reconciling multifractal stock returns and rough index volatilities

The Nested factor model was introduced by Chicheportiche et al. to represent non-linear correlations between stocks. Stock returns are explained by a standard factor model, but the (log)-volatilities of factors and residuals are themselves decomposed into factor modes, with a com...

Noise through an Additional Variable for Mean Field Games Master Equation on Finite State Space

Abstract. This paper provides a mathematical study of the well-posedness of a master equation with terms modeling common noise on finite state space. In this setting, the solution of the master equation depends on an additional variable modeling the value of a stochastic process...