arXiv subjects

Simona Sanfelici

Publications and source records attributed to Simona Sanfelici.

4 recordsLinked to original sources

arXiv2026

Short-rate models with stochastic discontinuities: a PDE approach

With the reform of interest rate benchmarks, interbank offered rates (IBORs) like LIBOR have been replaced by risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. and the Euro Short-Term Rate (\euro STR) in Europe. These rates exhibit characteristics like jumps and spikes that correspond to specific market events, driven by regulatory and liquidity constraints. To capture these characteristics, this paper considers a general short-rate model that incorporates discontinuities at fixed times with random sizes. Within this framework, we introduce a PDE-based approach for pricing interest rate derivatives and establish, under suitable assumptions, a Feynman-Kač representation for the solution. For affine models, we derive (quasi) closed-form solutions, while for the general case, we develop numerical methods to solve the resulting PDEs.

q-fin.MF↗

arXiv2024

The Fourier-Malliavin Volatility (FMVol) MATLAB library

This paper presents the Fourier-Malliavin Volatility (FMVol) estimation library for MATLAB. This library includes functions that implement Fourier- Malliavin estimators (see Malliavin and Mancino (2002, 2009)) of the volatility and co-volatility of continuous stochastic volatility processes and second-order quantities, like the quarticity (the squared volatility), the volatility of volatility and the leverage (the covariance between changes in the process and changes in its volatility). The Fourier-Malliavin method is fully non-parametric, does not require equally-spaced observations and is robust to measurement errors, or noise, without any preliminary bias correction or pre-treatment of the observations. Further, in its multivariate version, it is intrinsically robust to irregular and asynchronous sampling. Although originally introduced for a specific application in financial econometrics, namely the estimation of asset volatilities, the Fourier-Malliavin method is a general method that can be applied whenever one is interested in reconstructing the latent volatility and second-order quantities of a continuous stochastic volatility process from discrete observations.

stat.CO↗

arXiv2021

Stochastic leverage effect in high-frequency data: a Fourier based analysis

The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A novel estimator of the effect is defined using a pre-estimation of the Fourier coefficients of the return and the volatility processes. The consistency of the estimator is proven. Moreover, its finite sample properties are studied in the presence of microstructure noise effects. The Fourier methodology is applied to S\&P500 futures prices to investigate the magnitude of the stochastic leverage effect detectable at high-frequency.

q-fin.ST↗

arXiv2020

A fractional model for the COVID-19 pandemic: Application to Italian data

We provide a probabilistic SIRD model for the COVID-19 pandemic in Italy, where we allow the infection, recovery and death rates to be random. In particular, the underlying random factor is driven by a fractional Brownian motion. Our model is simple and needs only some few parameters to be calibrated.

q-bio.PE↗