Large and moderate deviations for stochastic Volterra systems

DOI10.1016/J.SPA.2022.03.017zbMATH Open1489.60044arXiv2004.10571OpenAlexW3018356653MaRDI QIDQ2137754FDOQ2137754

Alexandre Pannier, Antoine Jacquier

Publication date: 16 May 2022

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

Abstract: We provide a unified treatment of pathwise Large and Moderate deviations principles for a general class of multidimensional stochastic Volterra equations with singular kernels, not necessarily of convolution form. Our methodology is based on the weak convergence approach by Budhijara, Dupuis and Ellis. We show in particular how this framework encompasses most rough volatility models used in mathematical finance and generalises many recent results in the literature.

Full work available at URL: https://arxiv.org/abs/2004.10571

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zbMATH Keywords

large deviationsweak convergencemoderate deviationsstochastic Volterra equationsrough volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (8)

• Asymptotics for multifactor Volterra type stochastic volatility models
• Moderate deviations for rough differential equations
• Sample path moderate deviations for shot noise processes in the high intensity regime
• Statistical inference for rough volatility: minimax theory
• Reconstructing volatility: Pricing of index options under rough volatility
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• Large deviations for stochastic Volterra equations
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