2 papers
math.PR2026
Affine Volterra covariance processes and application to commodity markets
Boris Günther, Ludger Overbeck
We study affine stochastic Volterra equations on the cone of symmetric positive semidefinite matrices. For scalar kernels acting entrywise on the matrix dynamics, we establish weak…
math.PR2026
Path-dependent Affine Processes
Boris Günther, Thomas Kruse, Ludger Overbeck +1
We extend the classical theory of affine processes to a path-dependent setting by introducing path-dependent coefficients and provide analytic formulas for their Fourier--Laplace t…