Markovian structure of the Volterra Heston model (Q2322574)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markovian structure of the Volterra Heston model |
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Markovian structure of the Volterra Heston model (English)
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5 September 2019
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affine Volterra processes
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stochastic Volterra equations
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Markovian representation
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stochastic invariance
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Riccati-Volterra equations
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rough volatility
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