Rough Volatility: A Trojan horse into modern Financial computing

粗糙波动性：现代金融计算中的特洛伊木马

• 批准号: EP/T032146/1
• 负责人: Antoine Jacquier
• 金额: $ 101.15万
• 依托单位: Imperial College London
• 依托单位国家: 英国
• 项目类别: Research Grant
• 财政年份: 2021
• 资助国家: 英国
• 起止时间: 2021 至 无数据
• 项目状态: 未结题
• 来源: https://gtr.ukri.org/projects?ref=EP%2FT032146%2F1
• 关键词: Rough; Volatility; Trojan; horse; into

The Financial sector is a key industry in our current society, and providing it with the right accurate tools, while managing the risks, is of paramount importance in order to prevent previous disasters to occur again. A recent (16 October 2019) review by the Bank of England and the Financial Conduct Authority emphasised the importance (and already large) presence of new methods based on Machine Learning in finance-related firms. New techniques require new people or, at the very least new sets of skills. The goal of this proposal is to develop a new set of tools, updating former models with more accurate ones, with modern technologies harnessing the ever-increasing computational power available.We aim at developing a set of models (called `rough volatility') able to capture the historical behaviour of stock prices while being consistent with future forecasts and options data. Despite the obvious nature of the problem, it is still open, and recent developments have paved the way to potential solutions. The first goal is therefore to build a robust unified model consistent with real data, as well to as monitor the corresponding potential risks. The second goal is to develop the numerical techniques required to make this model fully accessible and manageable by financial institutions and the regulators. This numerical part is a core element of the project, and will be based on a combination of classical probabilistic tools and modern Machine Learning techniques. The final step of the project is to show how methods from quantum computing---so far mainly available theoretically---can help speed up these computations, and thereby open up many new doors for the future of Quantitative Finance.The obvious benefits of our results will be to provide a large industry, with deep impact on society, with precise and accurate tools that can be monitored, and hence whose associated risks are reduced. It will also bridge many existing gaps in the field of `rough volatility', as well as build many new connections between classical Mathematical Finance and modern Quantitative Finance; this new rough volatility paradigm will thus constitute a platform to develop modern computing techniques for financial models. Though our project is obviously deeply anchored in Finance, our results will not only provide test cases for some Deep Learning and quantum algorithm, but will also help clarify how these new tools can and should be applied in a controlled way. Since Machine Learning is now ubiquitous in many areas of everyday life, our project will make the field more robust and easily and widely accessible.

金融业是当今社会的一个关键行业，为它提供正确的准确工具，同时管理风险，对于防止以前的灾难再次发生至关重要。英格兰银行和金融行为监管局最近（2019年10月16日）的一项审查强调了基于机器学习的新方法在金融相关公司中的重要性（并且已经很大）。新技术需要新的人才，或者至少需要新的技能。本提案的目标是开发一套新的工具，更新以前的模型更准确的，与现代技术利用不断增加的计算能力。我们的目标是开发一套模型（称为“粗略波动”）能够捕捉股票价格的历史行为，同时与未来的预测和期权数据保持一致。尽管问题的性质显而易见，但它仍然是开放的，最近的事态发展为潜在的解决方案铺平了道路。因此，第一个目标是建立一个与真实的数据一致的强大的统一模型，并监测相应的潜在风险。第二个目标是开发所需的数值技术，使金融机构和监管机构完全可以使用和管理这一模型。这个数字部分是该项目的核心元素，将基于经典概率工具和现代机器学习技术的结合。该项目的最后一步是展示量子计算的方法--到目前为止主要是理论上可用的--如何帮助加速这些计算，从而为量化金融的未来打开许多新的大门。我们的结果的明显好处将是为一个对社会产生深远影响的大型行业提供精确和准确的工具，可以监控，因此其相关风险降低。它还将弥合“粗略波动性”领域的许多现有差距，并在经典数学金融学和现代量化金融学之间建立许多新的联系;因此，这种新的粗略波动性范式将构成一个平台，为金融模型开发现代计算技术。虽然我们的项目显然深深扎根于金融领域，但我们的研究结果不仅将为一些深度学习和量子算法提供测试案例，还将有助于澄清这些新工具如何能够并且应该以可控的方式应用。由于机器学习现在在日常生活的许多领域无处不在，我们的项目将使该领域更加强大，更容易和广泛地访问。

项目成果

Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

简短的沟通：对称 SSVI 微笑的动态和隐含波动率泡沫

• DOI: 10.1137/20m136089x
• 发表时间: 2021
• 期刊: SIAM Journal on Financial Mathematics
• 影响因子: 1
• 作者: Amrani M

Large and moderate deviations for importance sampling in the Heston model

Heston 模型中重要性采样的大偏差和中偏差

• DOI: 10.1007/s10479-023-05424-0
• 发表时间: 2023
• 期刊: Annals of Operations Research
• 影响因子: 4.8
• 作者: Geha M

Perturbation analysis of sub/super hedging problems

子/超级套期保值问题的扰动分析

• DOI: 10.1111/mafi.12321
• 发表时间: 2021
• 期刊: Mathematical Finance
• 影响因子: 1.6
• 作者: Badikov S

A quantum generative adversarial network for distributions

• DOI: 10.1007/s42484-022-00083-z
• 发表时间: 2021-10
• 期刊: Quantum Machine Intelligence
• 影响因子: 4.8
• 作者: Amine Assouel;A. Jacquier;A. Kondratyev

Functional quantization of rough volatility and applications to volatility derivatives

粗波动率的函数量化及其在波动率衍生品中的应用

• DOI: 10.1080/14697688.2023.2273414
• 发表时间: 2023
• 期刊: Quantitative Finance
• 影响因子: 1.3
• 作者: Bonesini O