Large and moderate deviations for stochastic Volterra systems

DOI10.1016/j.spa.2022.03.017zbMath1489.60044arXiv2004.10571OpenAlexW3018356653MaRDI QIDQ2137754

Alexandre Pannier, Antoine Jacquier

Publication date: 16 May 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.10571

zbMATH Keywords

weak convergencelarge deviationsmoderate deviationsstochastic Volterra equationsrough volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Reconstructing volatility: Pricing of index options under rough volatility ⋮ Asymptotics for multifactor Volterra type stochastic volatility models ⋮ A partial rough path space for rough volatility

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