Markovian structure of the Volterra Heston model

DOI10.1016/j.spl.2019.01.024zbMath1458.60078arXiv1803.00477OpenAlexW2962747399MaRDI QIDQ2322574

Eduardo Abi Jaber, Omar El Euch

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.00477

zbMATH Keywords

stochastic invariancestochastic Volterra equationsMarkovian representationrough volatilityaffine Volterra processesRiccati-Volterra equations

Mathematics Subject Classification ID

Volterra integral equations (45D05) Stochastic integral equations (60H20) Actuarial science and mathematical finance (91G99)

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Cites Work

• Unnamed Item
• Fractional Brownian motion and the Markov property
• Affine processes and applications in finance
• Perfect hedging in rough Heston models
• Affine forward variance models
• The stochastic Fubini theorem revisited
• Volatility is rough
• Multifactor Approximation of Rough Volatility Models
• The characteristic function of rough Heston models

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