9 citations · 10 across the 3 of their papers we have counts for
3 papers
The rough Hawkes Heston stochastic volatility model
Alessandro Bondi, Sergio Pulido, Simone Scotti
We study an extension of the Heston stochastic volatility model that incorporates rough volatility and jump clustering phenomena. In our model, named the rough Hawkes Heston stocha…
Affine Volterra processes with jumps
Alessandro Bondi, Giulia Livieri, Sergio Pulido
The theory of affine processes has been recently extended to the framework of stochastic Volterra equations with continuous trajectories. These so-called affine Volterra processes…
Affine Rough Models
Martin Keller-Ressel, Martin Larsson, Sergio Pulido
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…