Markovian structure of the Volterra Heston model

Published 2019 View Full Article

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Title
Markovian structure of the Volterra Heston model
Authors
Keywords
Affine Volterra processes, Stochastic Volterra equations, Markovian representation, Stochastic invariance, Riccati–Volterra equations, Rough volatility
Journal
STATISTICS & PROBABILITY LETTERS
Volume 149, Issue -, Pages 63-72
Publisher
Elsevier BV
Online
2019-02-05
DOI
10.1016/j.spl.2019.01.024

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