Affine Rough Models

Abstract : 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.
Complete list of metadatas

Cited literature [20 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-02265210
Contributor : Sergio Pulido <>
Submitted on : Thursday, August 8, 2019 - 6:04:05 PM
Last modification on : Sunday, August 11, 2019 - 1:09:18 AM

File

rough_affine_20_12_18.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-02265210, version 1
  • ARXIV : 1812.08486

Citation

Martin Keller-Ressel, Martin Larsson, Sergio Pulido. Affine Rough Models. 2019. ⟨hal-02265210⟩

Share

Metrics

Record views

11

Files downloads

11