The following pages link to Affine Volterra processes (Q2286463):
Displaying 50 items.
- Affine forward variance models (Q1999593) (← links)
- Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
- Infinite-dimensional polynomial processes (Q2022767) (← links)
- Strong convergence rates for Markovian representations of fractional processes (Q2033871) (← links)
- Time-consistent longevity hedging with long-range dependence (Q2038218) (← links)
- Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels (Q2040079) (← links)
- Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
- A convergence criterion for systems of point processes from the convergence of their stochastic intensities (Q2064803) (← links)
- A weak solution theory for stochastic Volterra equations of convolution type (Q2075334) (← links)
- Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
- Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
- COVID-19 and credit risk: a long memory perspective (Q2138614) (← links)
- Forests, cumulants, martingales (Q2139104) (← links)
- Inhomogeneous affine Volterra processes (Q2145777) (← links)
- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations (Q2155507) (← links)
- Stochastic mortality dynamics driven by mixed fractional Brownian motion (Q2172043) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Paracontrolled distribution approach to stochastic Volterra equations (Q2232183) (← links)
- Discrete-time simulation of stochastic Volterra equations (Q2238886) (← links)
- Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation (Q2240882) (← links)
- Markovian lifts of positive semidefinite affine Volterra-type processes (Q2292045) (← links)
- A martingale approach for fractional Brownian motions and related path dependent PDEs (Q2299585) (← links)
- Volterra mortality model: actuarial valuation and risk management with long-range dependence (Q2656983) (← links)
- The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
- Multivariate claim processes with rough intensities: properties and estimation (Q2682990) (← links)
- Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (Q4987721) (← links)
- Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (Q4991674) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- Time-Inconsistency with Rough Volatility (Q5019592) (← links)
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
- Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations (Q5056589) (← links)
- PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492) (← links)
- Pricing Options under Rough Volatility with Backward SPDEs (Q5065084) (← links)
- Robust control in a rough environment (Q5072907) (← links)
- American Options in the Volterra Heston Model (Q5080128) (← links)
- (Q5101650) (← links)
- A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597) (← links)
- Volatility Options in Rough Volatility Models (Q5112731) (← links)
- Lifting the Heston model (Q5120731) (← links)
- A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205) (← links)
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245) (← links)
- Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
- Diffusion approximation of multi-class Hawkes processes: Theoretical and numerical analysis (Q5156802) (← links)
- Multifactor Approximation of Rough Volatility Models (Q5227408) (← links)
- Unified signature cumulants and generalized Magnus expansions (Q5866307) (← links)
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate (Q5881714) (← links)
- Utility Maximization in Multivariate Volterra Models (Q5886358) (← links)
- On the Discrete-Time Simulation of the Rough Heston Model (Q5886364) (← links)
- Coupling methods and exponential ergodicity for two‐factor affine processes (Q6047317) (← links)
- Solution space characterisation of perturbed linear Volterra integrodifferential convolution equations: the \(L^p\) case (Q6052215) (← links)
