Via Columbia 2
Rome, Rome 00123
Italy
local stochastic volatility, implied volatility, implied skew, particle method
Portfolio Optimization, Reinforcement Learning, SARSA, Commodities, Threshold Models
Reinforcement Learning, Dynamic Strategies, Risk management
Rough Volatility Models, Stochastic Volatility, Rough Bergomi Model, Implied Skew, Fractional Brownian Motion, Log Brownian Motion
stochastic volatility, rough volatility, realized volatility, multivariate time series, volatility spillovers
Oscillating Brownian motion, leverage effect, realized volatility, mean-reversion, Self-Exciting Threshold Autoregressive model, Regime-Switch
Fractional process, multivariate process, ergodic process, long-range dependence, cross-correlation, parameters inference, rough volatility
