Markovian structure of the Volterra Heston model

Citations

Cited by:

1. Guillaume Leduc, 2025. "Convergence Speed of Bermudan, Randomized Bermudan, and Canadian Options," Mathematics, MDPI, vol. 13(2), pages 1-14, January.
2. repec:hal:wpaper:hal-03827332 is not listed on IDEAS
3. 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.
4. Ackermann, Julia & Kruse, Thomas & Overbeck, Ludger, 2022. "Inhomogeneous affine Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 250-279.
5. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Working Papers hal-02946146, HAL.
6. Alessandro Bondi & Sergio Pulido & Simone Scotti, 2024. "The rough Hawkes Heston stochastic volatility model," Post-Print hal-03827332, HAL.
7. Ofelia Bonesini & Antoine Jacquier & Alexandre Pannier, 2023. "Rough volatility, path-dependent PDEs and weak rates of convergence," Papers 2304.03042, arXiv.org, revised Jan 2025.
8. Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
9. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
10. Christa Cuchiero & Sara Svaluto-Ferro, 2021. "Infinite-dimensional polynomial processes," Finance and Stochastics, Springer, vol. 25(2), pages 383-426, April.
11. Yoshioka, Hidekazu, 2025. "Superposition of interacting stochastic processes with memory and its application to migrating fish counts," Chaos, Solitons & Fractals, Elsevier, vol. 192(C).
12. Christa Cuchiero & Sara Svaluto-Ferro, 2019. "Infinite dimensional polynomial processes," Papers 1911.02614, arXiv.org.
13. 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.
14. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
15. Bondi, Alessandro & Livieri, Giulia & Pulido, Sergio, 2024. "Affine Volterra processes with jumps," Stochastic Processes and their Applications, Elsevier, vol. 168(C).
16. Yang, Wensheng & Ma, Jingtang & Cui, Zhenyu, 2025. "A general valuation framework for rough stochastic local volatility models and applications," European Journal of Operational Research, Elsevier, vol. 322(1), pages 307-324.
17. Jim Gatheral & Martin Keller-Ressel, 2019. "Affine forward variance models," Finance and Stochastics, Springer, vol. 23(3), pages 501-533, July.
18. 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.
19. Alessandro Bondi & Sergio Pulido & Simone Scotti, 2022. "The rough Hawkes Heston stochastic volatility model," Papers 2210.12393, arXiv.org.
20. 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.
21. Florian Aichinger & Sascha Desmettre, 2025. "Pricing of geometric Asian options in the Volterra-Heston model," Review of Derivatives Research, Springer, vol. 28(1), pages 1-30, April.
22. 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.
23. Boris Ter-Avanesov & Gunter A. Meissner, 2024. "Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates," Papers 2411.16617, arXiv.org.
24. Hamaguchi, Yushi & Wang, Tianxiao, 2024. "Linear–quadratic stochastic Volterra controls I: Causal feedback strategies," Stochastic Processes and their Applications, Elsevier, vol. 176(C).
25. Martin Friesen & Stefan Gerhold & Kristof Wiedermann, 2024. "Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts," Papers 2412.15971, arXiv.org.
26. Alfonsi, Aurélien, 2025. "Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation," Stochastic Processes and their Applications, Elsevier, vol. 181(C).