An infinite‐dimensional affine stochastic volatility model (Q6054429)
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scientific article; zbMATH DE number 7743080
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An infinite‐dimensional affine stochastic volatility model |
scientific article; zbMATH DE number 7743080 |
Statements
An infinite‐dimensional affine stochastic volatility model (English)
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28 September 2023
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forward price dynamics
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Heath-Jarrow-Morton-Musiela framework
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infinite-dimensional affine processes
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Riccati equations
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state-dependent jump intensity
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stochastic volatility
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