This presentation introduces the rough path-dependent volatility model (RPDVM). After defining the model and its different components, the presentation focuses on various specifications of the RPDVM that already exist in the literature. Finally, a Markovian approximation of the model is presented

We forecast monthly Value at Risk (VaR) and Conditional Value at Risk (CVaR) using option market data and four different econometric techniques. Independently from the econometric approach used, all models produce quick to estimate forward-looking risk measures that do not depend from the amount...

VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...

Multivariate return distributions consistent with bilateral gamma marginals are formulated and termed multivariate bilateral gamma (MBG). Tail probability distances and Wasserstein Distances between return data, model simulations and their squares evaluate model performance. A full Gaussian...

This article introduces the rough path-dependent volatility (RPDV) model, a model structurally adapted to jointly capture two major empirical features of volatility: its rough behavior and its path-dependence.After presenting it in its general form and its link with other existing models in the...

The investment industry lacks an unified framework for handling derivative instruments in general portfolio management. With the increased use of derivatives, there is a need for a framework that aligns fundamental terminology and concepts. The main challenges with the current practices are...

We show how distributions can be reduced to low-dimensional scenario trees. Applied to intertemporal distributions, the scenarios and their probabilities become time-varying factors. From S&P 500 options, two or three time-varying scenarios suffice to forecast returns, implied variance or...

In this paper I pose an old fashioned question, "Why do capitalist economies evolve in the way that they do?" The answer will lie, on the one hand, in the nature of human curiosity and the corresponding growth of knowledge and, on the other hand, in the particular instituted rules of the game...