Small-time moderate deviations for the randomised Heston model

TL;DR

This paper extends large deviations results to moderate deviations for the randomised Heston model, using advanced probabilistic tools to analyze the model's behavior.

Contribution

It introduces moderate deviation analysis to the randomised Heston model, expanding the understanding beyond large deviations.

Findings

Established moderate deviation principles for the model

Applied G"artner-Ellis theorem and sharp large deviations techniques

Enhanced the theoretical framework for stochastic volatility models

Abstract

We extend previous large deviations results for the randomised Heston model to the case of moderate deviations. The proofs involve the G\"artner-Ellis theorem and sharp large deviations tools.