8 papers
On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models
Emmanuel Gnabeyeu
This paper is concerned with Merton's portfolio optimization problem in a Volterra stochastic environment described by a multivariate fake stationary Volterra--Heston model. Due to…
Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps
Sigui Brice Dro, Emmanuel Gnabeyeu
This paper is concerned with portfolio selection for an investor with exponential, power, and logarithmic utility in multi-asset financial markets allowing jumps. We investigate th…
On Path-dependent Volterra Integral Equations: Strong Well-posedness and Stochastic Numerics
Emmanuel Gnabeyeu, Gilles Pagès
The aim of this paper is to provide a comprehensive analysis of the path-dependent Stochastic Volterra Integral Equations (SVIEs), in which both the drift and the diffusion coeffic…
On the mean-variance problem through the lens of multivariate fake stationary affine Volterra dynamics
Emmanuel Gnabeyeu
We investigate the continuous-time Markowitz mean-variance portfolio selection problem within a multivariate class of fake stationary affine Volterra models. In this non-Markovian…
Fake stationary rough Heston volatility: Microstructure-inspired foundations
Emmanuel Gnabeyeu, Gilles Pagès, Mathieu Rosenbaum
This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime. We show that, under appropriate s…
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
Emmanuel Gnabeyeu, Gilles Pagès, Mathieu Rosenbaum
True Volterra equations are inherently non stationary and therefore do not admit over finite horizons. This motivates the study of the finite-…