Affine Volterra processes

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Author
Jaber, Eduardo A.
Larsson, Martin
Pulido, Sergio
Date
2019
Type
    Journal Article
Publication status
published
External links
Journal / series
The Annals of Applied Probability
Volume
29(5)
Pages / Article No.
3155 - 3200
Publisher
Institute of Mathematical Statistics
Subject
Stochastic Volterra equations; Riccati-Volterra equations; affine processes; rough volatility
Organisational unit
09546 - Larsson, Martin (ehemalig) / Larsson, Martin (former)  
Funding
163425 - Tractable Stopping Problems in Finance (SNF)
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ETH Bibliography
yes
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