3 papers
q-fin.MF2023
Power law in Sandwiched Volterra Volatility model
Giulia Di Nunno, Anton Yurchenko-Tytarenko
In this paper, we present analytical proof demonstrating that the Sandwiched Volterra Volatility (SVV) model is able to reproduce the power-law behavior of the at-the-money implied…
math.PR2017
Stochastic functional differential equations and sensitivity to their initial path
David R. Baños, Giulia Di Nunno, Hannes Haferkorn +1
We consider systems with memory represented by stochastic functional differential equations. Substantially, these are stochastic differential equations with coefficients depending…
math.PR2016
Fractional calculus and path-wise integration for Volterra processes driven by Lévy and martingale noise
Giulia Di Nunno, Yuliya Mishura, Konstiantyn Ralchenko
We introduce a pathwise integration for Volterra processes driven by Lévy noise or martingale noise. These processes are widely used in applications to turbulence, signal processes…