Affine Volterra processes and models for rough volatility | Vidéo | Carmin.tv

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Affine Volterra processes and models for rough volatility

By Martin Larsson

Appears in collections : Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques, Exposés de recherche

Motivated by recent advances in rough volatility modeling, we introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special case, but affine Volterra processes are neither semi-martingales, nor Markov processes in general. Nonetheless, their Fourier-Laplace functionals admit exponential-affine representations in terms of solutions of associated deterministic integral equations, extending the well-known Riccati equations for classical affine diffusions. Our findings generalize and simplify recent results in the literature on rough volatility.

Information about the video

Date of recording 16/11/2017
Date of publication 21/11/2017
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19245003
Cite this video Larsson, Martin (16/11/2017). Affine Volterra processes and models for rough volatility. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19245003
URL https://dx.doi.org/10.24350/CIRM.V.19245003

Domain(s)

Probability

Bibliography

Jaber, E.A., Larsson, M., & Pulido, S. (2017). Affine Volterra processes. <arXiv:1708.08796> - https://arxiv.org/abs/1708.08796

MSC codes

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