Rough affine models

Martin Keller-Ressel (1) , Martin Larsson (2) , Sergio Pulido (3, 4)

1 TU Dresden - Technische Universität Dresden = Dresden University of Technology
2 D-MATH - Department of Mathematics [ETH Zurich]
3 ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise
4 LaMME - Laboratoire de Mathématiques et Modélisation d'Evry

The goal of this survey article is to explain and elucidate the affine structure of recent models appearing in the rough volatility literature, and show how it leads to exponential-affine transform formulas.

Domaines: Probabilités [math.PR]; Finance quantitative [q-fin.CP]

Martin Keller-Ressel, Martin Larsson, Sergio Pulido. Rough affine models. Rough Volatility, 2023, 978-1-61197-777-6. ⟨10.1137/1.9781611977783⟩. ⟨hal-02265210⟩