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Affine representations of fractional processes with applications in mathematical finance

Citations

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Cited by:

  1. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Working Papers hal-02946146, HAL.
  2. Hamaguchi, Yushi, 2024. "Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations," Stochastic Processes and their Applications, Elsevier, vol. 178(C).
  3. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
  4. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
  5. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Aug 2025.
  6. 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.
  7. Giulia Di Nunno & Anton Yurchenko-Tytarenko, 2022. "Sandwiched Volterra Volatility model: Markovian approximations and hedging," Papers 2209.13054, arXiv.org, revised Jul 2024.
  8. Giulia Di Nunno & Kęstutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From Constant to Rough: A Survey of Continuous Volatility Modeling," Mathematics, MDPI, vol. 11(19), pages 1-35, October.
  9. Ehsan Azmoodeh & Yuliya Mishura & Farzad Sabzikar, 2022. "How Does Tempering Affect the Local and Global Properties of Fractional Brownian Motion?," Journal of Theoretical Probability, Springer, vol. 35(1), pages 484-527, March.
  10. Eduardo Abi Jaber, 2020. "The Laplace transform of the integrated Volterra Wishart process," Working Papers hal-02367200, HAL.
  11. Aur'elien Alfonsi & Ahmed Kebaier, 2021. "Approximation of Stochastic Volterra Equations with kernels of completely monotone type," Papers 2102.13505, arXiv.org, revised Mar 2022.
  12. Christian Bayer & Eric Joseph Hall & Ra'ul Tempone, 2020. "Weak error rates for option pricing under linear rough volatility," Papers 2009.01219, arXiv.org, revised Dec 2021.
  13. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Post-Print hal-02910724, HAL.
  14. Ackermann, Julia & Kruse, Thomas & Overbeck, Ludger, 2022. "Inhomogeneous affine Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 250-279.
  15. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02367200, HAL.
  16. Etienne Chevalier & Sergio Pulido & Elizabeth Z'u~niga, 2021. "American options in the Volterra Heston model," Papers 2103.11734, arXiv.org, revised May 2022.
  17. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
  18. Eduardo Abi Jaber, 2019. "The Laplace transform of the integrated Volterra Wishart process," Papers 1911.07719, arXiv.org, revised Jul 2024.
  19. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
  20. Benjamin James Duthie, 2019. "Portfolio optimisation under rough Heston models," Papers 1909.02972, arXiv.org.
  21. Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2024. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Post-Print hal-03902513, HAL.
  22. Qinwen Zhu & Gr'egoire Loeper & Wen Chen & Nicolas Langren'e, 2020. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Papers 2007.02113, arXiv.org.
  23. repec:hal:wpaper:hal-03902513 is not listed on IDEAS
  24. Eduardo Abi Jaber & Camille Illand & Shaun Xiaoyuan Li, 2024. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03902513, HAL.
  25. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Working Papers hal-02910724, HAL.
  26. 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.
  27. Eduardo Abi Jaber, 2020. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Papers 2009.10972, arXiv.org, revised May 2022.
  28. Eduardo Abi Jaber & Camille Illand & Shaun & Li, 2022. "Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints," Papers 2212.08297, arXiv.org, revised Dec 2024.
  29. Qinwen Zhu & Grégoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing," Mathematics, MDPI, vol. 9(5), pages 1-21, March.
  30. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Post-Print hal-02367200, HAL.
  31. Jiang, Haoran & Zhang, Zhehao & Zhu, Xiaojun, 2024. "Stochastic mortality model with respect to mixed fractional Poisson process: Calibration and empirical analysis of long-range dependence in actuarial valuation," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 64-92.
  32. Eduardo Abi Jaber & Shaun & Li, 2024. "Volatility models in practice: Rough, Path-dependent or Markovian?," Papers 2401.03345, arXiv.org, revised Apr 2025.
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