Markovian structure of the Volterra Heston model
Author
Abstract
Suggested Citation
Note: View the original document on HAL open archive server: https://hal.science/hal-01716696v2
Download full text from publisher
References listed on IDEAS
- Jim Gatheral & Martin Keller-Ressel, 2018. "Affine forward variance models," Papers 1801.06416, arXiv.org, revised Oct 2018.
- Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Papers 1801.10359, arXiv.org, revised Apr 2018.
- Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum, 2014. "Volatility is rough," Papers 1410.3394, arXiv.org.
- Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
- Omar El Euch & Mathieu Rosenbaum, 2017. "Perfect hedging in rough Heston models," Papers 1703.05049, arXiv.org.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Working Papers hal-03827332, HAL.
- Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Working Papers hal-02946146, HAL.
- Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
- Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
- Christa Cuchiero & Sara Svaluto-Ferro, 2021. "Infinite-dimensional polynomial processes," Finance and Stochastics, Springer, vol. 25(2), pages 383-426, April.
- Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
- Christa Cuchiero & Josef Teichmann, 2019. "Markovian lifts of positive semidefinite affine Volterra-type processes," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 407-448, December.
- Christa Cuchiero & Sara Svaluto-Ferro, 2019. "Infinite dimensional polynomial processes," Papers 1911.02614, arXiv.org.
- Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
- Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
- Ofelia Bonesini & Antoine Jacquier & Alexandre Pannier, 2023. "Rough volatility, path-dependent PDEs and weak rates of convergence," Papers 2304.03042, arXiv.org.
- Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Papers 2210.12393, arXiv.org.
- Ackermann, Julia & Kruse, Thomas & Overbeck, Ludger, 2022. "Inhomogeneous affine Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 250-279.
- Jim Gatheral & Martin Keller-Ressel, 2019. "Affine forward variance models," Finance and Stochastics, Springer, vol. 23(3), pages 501-533, July.
- Prömel, David J. & Scheffels, David, 2023. "Stochastic Volterra equations with Hölder diffusion coefficients," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 291-315.
- Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02946146, HAL.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Eduardo Abi Jaber & Omar El Euch, 2018. "Markovian structure of the Volterra Heston model," Working Papers hal-01716696, HAL.
- Abi Jaber, Eduardo & El Euch, Omar, 2019. "Markovian structure of the Volterra Heston model," Statistics & Probability Letters, Elsevier, vol. 149(C), pages 63-72.
- Jim Gatheral & Radoš Radoičić, 2019. "Rational Approximation Of The Rough Heston Solution," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-19, May.
- Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
- Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
- Blanka Horvath & Antoine Jacquier & Peter Tankov, 2018. "Volatility options in rough volatility models," Papers 1802.01641, arXiv.org, revised Jan 2019.
- Eduardo Abi Jaber & Omar El Euch, 2019. "Multi-factor approximation of rough volatility models," Post-Print hal-01697117, HAL.
- Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Papers 1801.10359, arXiv.org, revised Apr 2018.
- Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper, 2017. "A regularity structure for rough volatility," Papers 1710.07481, arXiv.org.
- Ryan McCrickerd, 2019. "On spatially irregular ordinary differential equations and a pathwise volatility modelling framework," Papers 1902.01673, arXiv.org, revised Sep 2021.
- Eduardo Abi Jaber, 2018. "Lifting the Heston model," Papers 1810.04868, arXiv.org, revised Nov 2019.
- Eduardo Abi Jaber, 2018. "Lifting the Heston model," Working Papers hal-01890751, HAL.
- Paul Jusselin & Mathieu Rosenbaum, 2018. "No-arbitrage implies power-law market impact and rough volatility," Papers 1805.07134, arXiv.org.
- Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2017. "Decoupling the short- and long-term behavior of stochastic volatility," CREATES Research Papers 2017-26, Department of Economics and Business Economics, Aarhus University.
- Ariel Neufeld, 2017. "Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims," Papers 1707.01178, arXiv.org, revised Oct 2018.
- Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2018. "Affine Rough Models," Papers 1812.08486, arXiv.org.
- Jiro Akahori & Xiaoming Song & Tai-Ho Wang, 2017. "Probability density of lognormal fractional SABR model," Papers 1702.08081, arXiv.org, revised Jan 2019.
- Thibault Jaisson & Mathieu Rosenbaum, 2015. "Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes," Papers 1504.03100, arXiv.org.
- Elisa Al`os & Michael Coulon, 2018. "On the optimal choice of strike conventions in exchange option pricing," Papers 1807.05396, arXiv.org.
- Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2023.
More about this item
Keywords
Markovian representation; stochastic Volterra equations; Affine Volterra processes; stochastic invariance; Riccati-Volterra equations; rough volatility;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2019-05-20 (Business Economics)
- NEP-ORE-2019-05-20 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-01716696. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.