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math.PR2020★ 27 cited
Large and moderate deviations for stochastic Volterra systems
Antoine Jacquier, Alexandre Pannier
We provide a unified treatment of pathwise Large and Moderate deviations principles for a general class of multidimensional stochastic Volterra equations with singular kernels, not…
q-fin.PR2020
A theoretical analysis of Guyon's toy volatility model
Ofelia Bonesini, Antoine Jacquier, Chloe Lacombe
We provide a thorough analysis of the path-dependent volatility model introduced by Guyon \cite{G17}, proving existence and uniqueness of a strong solution, characterising its beha…