Affine representations of fractional processes with applications in mathematical finance

DOI10.1016/J.SPA.2018.04.010zbMath1488.60096arXiv1510.04061OpenAlexW2963618697MaRDI QIDQ2419969

David Stefanovits, Philipp Harms

Publication date: 4 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.04061

zbMATH Keywords

affine processMarkovian representationfractional processinfinite-dimensional Markov processfractional interest rate modelfractional volatility model

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Continuous-time Markov processes on general state spaces (60J25) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (16)

Inhomogeneous affine Volterra processes ⋮ American Options in the Volterra Heston Model ⋮ Integral representation of generalized grey Brownian motion ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Stochastic analysis for vector-valued generalized grey Brownian motion ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Approximation of Stochastic Volterra Equations with kernels of completely monotone type ⋮ Portfolio Optimization in Fractional and Rough Heston Models ⋮ Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations ⋮ Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation ⋮ Strong convergence rates for Markovian representations of fractional processes ⋮ Option pricing in sandwiched Volterra volatility model ⋮ Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation ⋮ Multifactor Approximation of Rough Volatility Models ⋮ How does tempering affect the local and global properties of fractional Brownian motion? ⋮ WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY

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