{
  "abstract": "The short-term blow up behaviour of the ATM-IV skew is commonly modelled by either a rough volatility process with small Hurst index or an infinite variation Lévy process in the log-price dynamics. In this paper, we examine which is the effect of mixed dynamics (i.e. rough volatility and infinite variation Lévy processes) on the ATM-IV skew and curvature. The results of the paper show that the analysis of the leading terms of the short-time expansion of both ATM-IV skew and curvature allow us to determine, from a mixed dynamics model, which mechanism originates the power-law behaviour on the skew and on the curvature. Apart from showing that the mixed model also originates a power law, it has also key implications in model design and calibration. Numerical evidences for the rough Heston model with CGMY Lévy jumps are provided.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.23488",
  "author_total": 2,
  "authors": [
    {
      "name": "Òscar Burés"
    },
    {
      "name": "Josep Vives"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/ff94pbxdzv6h4.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.23488",
  "fulltext_url": null,
  "id": "ff94pbxdzv6h4",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2610.23488",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.PR"
    ],
    [
      "arxiv",
      "q-fin.MF"
    ],
    [
      "openalex",
      "2003|Stochastic processes and financial applications"
    ]
  ],
  "openalex": "W7222938259",
  "pdf_url": "https://arxiv.org/pdf/2610.23488",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-16",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/ff94pbxdzv6h4.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:30:37Z",
      "native_id": "2610.23488",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.23488"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.PR",
      "subfield": "probability"
    }
  ],
  "title": "On the skew-curvature power law relationship in a stochastic volatility model with infinite variation Lévy jumps",
  "title_text": "On the skew-curvature power law relationship in a stochastic volatility model with infinite variation Lévy jumps",
  "type": "preprint",
  "updated_at": "2026-10-30T12:33:31Z",
  "url": "https://research.draconitic.com/paper/ff94pbxdzv6h4",
  "venue": "arXiv",
  "versions": []
}