arXiv subjects

Giacomo Giorgio

Publications and source records attributed to Giacomo Giorgio.

5 recordsLinked to original sources

arXiv2026

Multivariate Rough Volatility

Motivated by empirical evidence from the joint behavior of realized volatility time series, we propose to model the joint dynamics of log-volatilities using a multivariate fractional Ornstein-Uhlenbeck process. This model is a multivariate version of the Rough Fractional Stochastic Volatility model introduced in [Gatheral, Jaisson, and Rosenbaum, Quant. Finance, 2018]. It allows for different Hurst exponents in the different marginal components and non trivial interdependencies. We discuss the main features of the model and propose a Generalized Method of Moments estimator that jointly identifies its parameters. We derive the asymptotic theory of the estimator and perform a simulation study that confirms the asymptotic theory in finite sample. We conduct an extensive empirical investigation of all realized-volatility time series covering the entire span of about two decades in the Oxford-Man realized library, and of a small spot-volatility system. Our analysis shows that these time series are strongly correlated and can exhibit asymmetries in their empirical cross-covariance function, accurately captured by our model. These asymmetries lead to spillover effects, which we derive analytically within our model and compute based on empirical estimates of model parameters. Moreover, in accordance with the existing literature, we observe behaviors close to non-stationarity and rough trajectories.

q-fin.ST↗

arXiv2025

The multivariate fractional Ornstein-Uhlenbeck process

Starting from the notion of multivariate fractional Brownian Motion introduced in [F. Lavancier, A. Philippe, and D. Surgailis. Covariance function of vector self-similar processes. Statistics & Probability Letters, 2009] we define a multivariate version of the fractional Ornstein-Uhlenbeck process. This multivariate Gaussian process is stationary, ergodic and allows for different Hurst exponents on each component. We characterize its correlation matrix and its short and long time asymptotics. Besides the marginal parameters, the cross correlation between one-dimensional marginal components is ruled by two parameters. We consider the problem of their inference, proposing two types of estimator, constructed from discrete observations of the process. We establish their asymptotic theory, in one case in the long time asymptotic setting, in the other case in the infill and long time asymptotic setting. The limit behavior can be asymptotically Gaussian or non-Gaussian, depending on the values of the Hurst exponents of the marginal components. The technical core of the paper relies on the analysis of asymptotic properties of functionals of Gaussian processes, that we establish using Malliavin calculus and Stein's method. We provide numerical experiments that support our theoretical analysis and also suggest a conjecture on the application of one of these estimators to the multivariate fractional Brownian Motion.

math.PR↗

arXiv2024

Limit theorems for Gaussian fields via Chaos Expansions and Applications

In this PhD thesis, we apply a combination of Malliavin calculus and Stein's method in the framework of probability approximations. The specific problems we tackle with these methods are motivated by probabilistic models in cosmology (Part I: Quantitative CLTs for non linear functionals of random hyperspherical harmonics) and finance (Part II: The fractional Ornstein-Uhlenbeck process in rough volatility modelling). In this second part we also apply techniques from Large Deviations theory (Section: Short-time asymptotics for non self-similar stochastic volatility models).

math.PR↗

arXiv2023

Short-time asymptotics for non self-similar stochastic volatility models

We provide a short-time large deviation principle (LDP) for stochastic volatility models, where the volatility is expressed as a function of a Volterra process. This LDP does not require strict self-similarity assumptions on the Volterra process. For this reason, we are able to apply such an LDP to two notable examples of non self-similar rough volatility models: models where the volatility is given as a function of a log-modulated fractional Brownian motion [Bayer et al., Log-modulated rough stochastic volatility models. SIAM J. Financ. Math, 2021, 12(3), 1257-1284], and models where it is given as a function of a fractional Ornstein-Uhlenbeck (fOU) process [Gatheral et al., Volatility is rough. Quant. Finance, 2018, 18(6), 933-949]. In both cases we derive consequences for short-maturity European option prices, implied volatility surfaces and implied volatility skew. In the fOU case we also discuss moderate deviations pricing and simulation results.

q-fin.MF↗

arXiv2023

Convergence in Total Variation for nonlinear functionals of random hyperspherical harmonics

Random hyperspherical harmonics are Gaussian Laplace eigenfunctions on the unit $d$-dimensional sphere ($d\ge 2$). We study the convergence in Total Variation distance for their nonlinear statistics in the high energy limit, i.e., for diverging sequences of Laplace eigenvalues. Our approach takes advantage of a recent result by Bally, Caramellino and Poly (2020): combining the Central Limit Theorem in Wasserstein distance obtained by Marinucci and Rossi (2015) for Hermite-rank $2$ functionals with new results on the asymptotic behavior of their Malliavin-Sobolev norms, we are able to establish second order Gaussian fluctuations in this stronger probability metric as soon as the functional is regular enough. Our argument requires some novel estimates on moments of products of Gegenbauer polynomials that may be of independent interest, which we prove via the link between graph theory and diagram formulas.

math.PR↗