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An infinite‐dimensional affine stochastic volatility model - MaRDI portal

An infinite‐dimensional affine stochastic volatility model (Q6054429)

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scientific article; zbMATH DE number 7743080
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An infinite‐dimensional affine stochastic volatility model
scientific article; zbMATH DE number 7743080

    Statements

    title
    An infinite‐dimensional affine stochastic volatility model (English)
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    author
    Sonja Cox
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    Sven Karbach
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    Asma Khedher
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    publication date
    28 September 2023
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    zbMATH Keywords
    forward price dynamics
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    Heath-Jarrow-Morton-Musiela framework
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    infinite-dimensional affine processes
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    Riccati equations
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    state-dependent jump intensity
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    stochastic volatility
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    cites work
    Q5420974
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    Q4139053
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    Q3721264
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    Q4778955
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    Q3258067
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    Q2713586
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    Q4100575
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    Identifiers

    arXiv ID
    2108.02604
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    DOI
    10.1111/mafi.12347
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    zbMATH DE Number
    7743080
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    OpenAlex ID
    W4220823975
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