Markovian structure of the Volterra Heston model

Abstract

We unravel the Markovian structure of the Volterra Heston model. The model belongs to the class of affine Volterra processes as introduced in Abi Jaber, Larsson and Pulido (2017) and nests as special cases the standard Heston... [ view full abstract ]

Authors

  1. Eduardo Abi Jaber (Universite Paris Dauphine)
  2. Omar El Euch (Ecole Polytechnique)

Topic Areas

Numerical Methods , Stochastic Analysis , Stochastic Volatility

Session

TH-P-SW » Polynomial Models and Volterra Equations (14:30 - Thursday, 19th July, Swift)

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