Rough affine models

DOI10.1137/1.9781611977783.CH5MaRDI QIDQ7029230zbMATH OpenFDO

Authors Martin Larsson, Martin Keller-Ressel, Sergio Pulido

Publication date 11 February 2025

Full work available at URL https://doi.org/10.1137/1.9781611977783.CH5

Mathematics Subject Classification ID

Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Laplace transform (44A10) Financial markets (91G15)

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