Hawkes Process Models for High-Frequency Trade Arrivals

We fit multivariate Hawkes processes to tick data and analyse clustering and cross-excitation patterns across asset classes.

Market Making Under Inventory Risk with Adverse Selection

An optimal control formulation of the market-making problem is studied, accounting for inventory costs and informed order flow.

Rough Volatility Models and Their Empirical Performance

We examine rough fractional Brownian motion-driven volatility models and compare their fit to S&P 500 implied volatility surfaces.

Order Book Dynamics and Price Impact in Limit Order Markets

A continuous-time model for the evolution of the limit order book is proposed, capturing price impact as a function of order flow imbalance.

Calibration of Stochastic Volatility Models to Equity Derivatives

We study the calibration of Heston and SABR models to observed market prices of vanilla options, using nonlinear least-squares methods with regularisation.