Affine Volterra processes with jumps
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DOI: 10.1016/j.spa.2023.104264
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References listed on IDEAS
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Cited by:
- Boyi Li & Weixuan Xia, 2024. "Crypto Inverse-Power Options and Fractional Stochastic Volatility," Papers 2403.16006, arXiv.org, revised Sep 2024.
- Reza Arabpour & John Armstrong & Luca Galimberti & Anastasis Kratsios & Giulia Livieri, 2024. "Low-dimensional approximations of the conditional law of Volterra processes: a non-positive curvature approach," Papers 2405.20094, arXiv.org.
- Aur'elien Alfonsi & Guillaume Szulda, 2024. "On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients," Papers 2402.19203, arXiv.org, revised Jul 2024.
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Keywords
Affine processes; Affine Volterra processes; Stochastic Volterra equations; Hawkes processes; Riccati–Volterra equations; Rough volatility;All these keywords.
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