论文标题
在二次粗糙赫斯顿下的多资产市场制造
Multi-asset market making under the quadratic rough Heston
论文作者
论文摘要
鉴于最近引入的二次粗糙赫斯顿模型的SPX/VIX微笑的联合建模有令人鼓舞的结果，我们考虑了SPX及其衍生物的多资产市场制作问题，例如VIX期货，SPX和VIX选项。做市商试图在控制投资组合的库存风险的同时，通过捕获利润来最大化其利润，这可以通过SPX的价值变化在特定的二次Rough Heston Model的特定设置下充分说明。产生的优化问题的高维度通过几个近似值放松。可以获得渐近封闭形式的解决方案。通过数值实验说明了近似值的准确性和相关性。
Given the promising results on joint modeling of SPX/VIX smiles of the recently introduced quadratic rough Heston model, we consider a multi-asset market making problem on SPX and its derivatives, e.g. VIX futures, SPX and VIX options. The market maker tries to maximize its profit from spread capturing while controlling the portfolio's inventory risk, which can be fully explained by the value change of SPX under the particular setting of the quadratic rough Heston model. The high dimensionality of the resulting optimization problem is relaxed by several approximations. An asymptotic closed-form solution can be obtained. The accuracy and relevance of the approximations are illustrated through numerical experiments.
