The Laplace transform of the integrated Volterra Wishart process-Reference-Cited by-同舟云学术

The Laplace transform of the integrated Volterra Wishart process

Published:2021-08-05 Issue:1 Volume:32 Page:309-348
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Abi Jaber Eduardo¹

Affiliation:

1. Université Paris 1 Panthéon‐Sorbonne, Centre d'Economie de la Sorbonne Paris France

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12334

Reference63 articles.

1. Lifting the Heston model

2. Multifactor Approximation of Rough Volatility Models

3. Markovian structure of the Volterra Heston model

4. Affine Volterra processes

5. Abi Jaber E. Miller E. &Pham H.(2019b).Linear‐quadratic control for a class of stochastic Volterra equations: Solvability and approximation. arXiv:1911.01900 to appear in Annals of Applied Probability.

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