30 citations · 110 across the 29 of their papers we have counts for
4 papers · 1 filter
Affine Rough Models
Martin Keller-Ressel, Martin Larsson, Sergio Pulido
The goal of this survey article is to explain and elucidate the affine structure of recent models appearing in the rough volatility literature, and show how it leads to exponential…
Probability measure-valued polynomial diffusions
Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro
We introduce a class of probability measure-valued diffusions, coined polynomial, of which the well-known Fleming--Viot process is a particular example. The defining property of fi…
On the Relation Between Linearity-Generating Processes and Linear-Rational Models
Damir Filipovic, Martin Larsson, Anders B. Trolle
We review the notion of a linearity-generating (LG) process introduced by Gabaix (2007) and relate LG processes to linear-rational (LR) models studied by Filipovic, Larsson, and Tr…
Conditional infimum and recovery of monotone processes
Martin Larsson
Monotone processes, just like martingales, can often be recovered from their final values. Examples include running maxima of supermartingales, as well as running maxima, local tim…