6 citations · 6 across the 1 of their papers we have counts for
3 papers
math.PR2026★ 6 cited
Rough volatility, path-dependent PDEs and weak rates of convergence
Ofelia Bonesini, Antoine Jacquier, Alexandre Pannier
In the setting of stochastic Volterra equations, and in particular rough volatility models, we show that conditional expectations are the unique classical solutions to path-depende…
math.PR2025
On the large-time behaviour of affine Volterra processes
Antoine Jacquier, Alexandre Pannier, Konstantinos Spiliopoulos
We show the existence of a stationary measure for a class of multidimensional stochastic Volterra systems of affine type. These processes are in general not Markovian, a shortcomin…
math.PR2025
Path-dependent PDEs for volatility derivatives
Alexandre Pannier
We regard options on VIX and Realised Variance as solutions to path-dependent partial differential equations (PDEs) in a continuous stochastic volatility model. The modeling assump…