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Sergio Pulido (ENSIIE)

13 December 2024 @ 11:00 - 12:00

 

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Date:
13 December 2024
Time:
11:00 - 12:00
Event Category:
Academic Events

Polynomial Volterra processes


Abstract: Recent studies have extended the theory of affine processes to the stochastic Volterra equations framework. In this talk, I will describe how the theory of polynomial processes extends to the Volterra setting. In particular, I will explain the moment formula and an interesting stochastic invariance result in this context. Potential applications to fractional volatility models will be discussed. This is joint work with Eduardo Abi Jaber, Christa Cuchiero, Luca Pelizzari and Sara Svaluto-Ferro.