Affine forward variance models

DOI10.1007/s00780-019-00392-5zbMath1430.91110arXiv1801.06416OpenAlexW2963026153MaRDI QIDQ1999593

Jim Gatheral, Martin Keller-Ressel

Publication date: 27 June 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.06416

zbMATH Keywords

stochastic volatilityRiccati equationHawkes processaffine processrough volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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