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The SVV Model of Financial Market

Author

Listed:
  • Giulia Di Nunno

    (University of Oslo, Department of Mathematics)

  • Yuliya Mishura

    (Taras Shevchenko National University of Kyiv, Department of Probability Theory, Statistics and Actuarial Mathematics)

  • Anton Yurchenko-Tytarenko

    (Statkraft Energi AS)

Abstract

This chapter introduces the Sandwiched Volterra Volatility (SVV) model—a financial market framework in which stochastic volatility is represented by a two-sided sandwiched process driven by a Hölder-continuous Gaussian Volterra noise. We demonstrate that this model, which was originally introduced in [7], supports efficient numerical approximation schemes and allows for a complete characterization of equivalent local martingale measures. In addition, we further investigate the implied volatility surfaces produced by the SVV model and demonstrate how the choice of the Gaussian Volterra driver can combine features of both roughness and long-memory.

Suggested Citation

  • Giulia Di Nunno & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2026. "The SVV Model of Financial Market," Springer Finance,, Springer.
    • Handle: RePEc:spr:sprfcp:978-3-032-26576-0_7
    DOI: 10.1007/978-3-032-26576-0_7
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