Infinite-dimensional polynomial processes

DOI10.1007/s00780-021-00450-xzbMath1461.91310arXiv1911.02614MaRDI QIDQ2022767

Christa Cuchiero, Sara Svaluto-Ferro

Publication date: 29 April 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.02614

zbMATH Keywords

dual processes; VIX options; polynomial processes; rough volatility; forward variance models; infinite-dimensional Markov processes; signature process

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60J28: Applications of continuous-time Markov processes on discrete state spaces