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Audiovisual Mathematics Library

Audiovisual Mathematics Library

Documents Cuchiero, Christa 1 results

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Rough volatility from an affine point of view - Cuchiero, Christa (Author of the conference) | CIRM H

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We represent Hawkes process and their Volterra long term limits, which have recently been used as rough variance processes, as functionals of infinite dimensional affine Markov processes. The representations lead to several new views on affine Volterra processes considered by Abi-Jaber, Larsson and Pulido. We also discuss possible extensions to rough covariance modeling via Volterra Wishart processes.
The talk is based on joint work with Josef Teichmann.[-]
We represent Hawkes process and their Volterra long term limits, which have recently been used as rough variance processes, as functionals of infinite dimensional affine Markov processes. The representations lead to several new views on affine Volterra processes considered by Abi-Jaber, Larsson and Pulido. We also discuss possible extensions to rough covariance modeling via Volterra Wishart processes.
The talk is based on joint work with Josef ...[+]

60J25 ; 91B70

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