Research · Ofelia Bonesini

Research

Interests

My work spans mean field games and N-player games, numerical probability, stochastic control, Volterra equations, and rough paths and signature methods, with applications to finance and energy finance.

Rough volatility Volterra equations Mean field & N-player games Stochastic control Rough paths & signatures Numerical probability Energy finance

Published & accepted

Publications

E

Rough volatility, path-dependent PDEs and weak rates of convergence

O. Bonesini, A. Jacquier, A. Pannier

To appear in Annals of Applied Probability

arXiv

@article{bonesini_rough_ppde,
  author  = {Bonesini, Ofelia and Jacquier, Antoine and Pannier, Alexandre},
  title   = {Rough volatility, path-dependent {PDEs} and weak rates of convergence},
  journal = {Annals of Applied Probability},
  note    = {To appear}
}

H

Rough paths for multi-factor rough volatility models

O. Bonesini, I. Gasteratos, A. Jacquier, E. Rossi-Ferrucci

To appear in Finance and Stochastics

arXiv

@article{bonesini_rough_paths_multifactor,
  author  = {Bonesini, Ofelia and Gasteratos, Ioannis and Jacquier, Antoine and Rossi-Ferrucci, Emilio},
  title   = {Rough paths for multifactor rough volatility models},
  journal = {Finance and Stochastics},
  note    = {To appear}
}

I

Risk premium and rough volatility

O. Bonesini, A. Jacquier, A. Muguruza

Frontiers of Mathematical Finance, 7, 78–94, 2025

DOI

@article{bonesini_risk_premium,
  author  = {Bonesini, Ofelia and Jacquier, Antoine and Muguruza, Aitor},
  title   = {Risk premium and rough volatility},
  journal = {Frontiers of Mathematical Finance},
  volume  = {7},
  pages   = {78--94},
  year    = {2025}
}

F

Continuous-time persuasion by filtering

R. Aïd, O. Bonesini, G. Callegaro, L. Campi

Journal of Economic Dynamics and Control, 176, 2025

DOI

@article{aid_persuasion_filtering,
  author  = {Aïd, René and Bonesini, Ofelia and Callegaro, Giorgia and Campi, Luciano},
  title   = {Continuous-time persuasion by filtering},
  journal = {Journal of Economic Dynamics and Control},
  volume  = {176},
  year    = {2025}
}

D

A theoretical analysis of Guyon’s toy volatility model

O. Bonesini, A. Jacquier, C. Lacombe

SIAM Journal on Financial Mathematics, 16(2), 2025

DOI

@article{bonesini_guyon_toy,
  author  = {Bonesini, Ofelia and Jacquier, Antoine and Lacombe, Chloé},
  title   = {A theoretical analysis of {Guyon's} toy volatility model},
  journal = {SIAM Journal on Financial Mathematics},
  volume  = {16},
  number  = {2},
  year    = {2025}
}

C

Correlated equilibria and mean field games in progressive strategies

O. Bonesini, L. Campi, M. Fischer

Mathematics of Operations Research, 50(2), 2024

DOI

@article{bonesini_correlated_equilibria,
  author  = {Bonesini, Ofelia and Campi, Luciano and Fischer, Markus},
  title   = {Correlated equilibria and mean field games in progressive strategies},
  journal = {Mathematics of Operations Research},
  volume  = {50},
  number  = {2},
  year    = {2024}
}

A

Functional quantization of rough volatility and applications to volatility derivatives

O. Bonesini, G. Callegaro, A. Jacquier

Quantitative Finance, 23(12), 1769–1792, 2023

DOI

@article{bonesini_functional_quantization,
  author  = {Bonesini, Ofelia and Callegaro, Giorgia and Jacquier, Antoine},
  title   = {Functional quantization of rough volatility and applications to volatility derivatives},
  journal = {Quantitative Finance},
  volume  = {23},
  number  = {12},
  pages   = {1769--1792},
  year    = {2023}
}

B

A McKean–Vlasov game of commodity production, consumption and trading

R. Aïd, O. Bonesini, G. Callegaro, L. Campi

Applied Mathematics & Optimization, 86(40), 2022

DOI

@article{aid_mckean_vlasov_commodity,
  author  = {Aïd, René and Bonesini, Ofelia and Callegaro, Giorgia and Campi, Luciano},
  title   = {A {McKean--Vlasov} game of commodity production, consumption and trading},
  journal = {Applied Mathematics and Optimization},
  volume  = {86},
  number  = {40},
  year    = {2022}
}

Under review & in progress

Preprints

G

Efficient simulation of a new class of Volterra-type SDEs

O. Bonesini, G. Callegaro, M. Grasselli, G. Pagès

Preprint, 2025

arXiv

@misc{bonesini_volterra_sde,
  author        = {Bonesini, Ofelia and Callegaro, Giorgia and Grasselli, Martino and Pagès, Gilles},
  title         = {Efficient simulation of a new class of {Volterra}-type {SDEs}},
  year          = {2025},
  eprint        = {2306.02708},
  archivePrefix = {arXiv}
}

L

XPDE for X ∈ {BS, FBS, P}: a rough volatility context

O. Bonesini, A. Jacquier

Preprint, 2023

arXiv

@misc{bonesini_xpde,
  author        = {Bonesini, Ofelia and Jacquier, Antoine},
  title         = {{XPDE} for X ∈ {BS, FBS, P}: a rough volatility context},
  year          = {2023},
  eprint        = {2309.11183},
  archivePrefix = {arXiv}
}

M

A mean-field model for pollution abatement via cap and trade mechanism

O. Bonesini, G. Lanaro

Preprint, 2026

arXiv

@misc{bonesini_pollution_abatement,
  author        = {Bonesini, Ofelia and Lanaro, Giacomo},
  title         = {A mean-field model for pollution abatement via cap and trade mechanism},
  year          = {2026},
  eprint        = {2607.22638},
  archivePrefix = {arXiv}
}

Co-authors

Collaborators

René Aïd Giorgia Callegaro Luciano Campi Markus Fischer Martino Grasselli Antoine Jacquier Chloé Lacombe Alexandre Pannier Gilles Pagès Ioannis Gasteratos Aitor Muguruza Emilio Rossi-Ferrucci Giacomo Lanaro

Editorial service

Associate Editor, Frontiers of Mathematical Finance.