The SVV Model of Financial Market

Giulia Di Nunno (), Yuliya Mishura () and Anton Yurchenko-Tytarenko ()
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Giulia Di Nunno: University of Oslo, Department of Mathematics
Yuliya Mishura: Taras Shevchenko National University of Kyiv, Department of Probability Theory, Statistics and Actuarial Mathematics
Anton Yurchenko-Tytarenko: Statkraft Energi AS

Chapter 7 in Volterra Volatility Models, 2026, pp 223-263 from Springer

Abstract: Abstract This chapter introduces the Sandwiched Volterra Volatility (SVV) model—a financial market framework in which stochastic volatility is represented by a two-sided sandwiched process driven by a Hölder-continuous Gaussian Volterra noise. We demonstrate that this model, which was originally introduced in [7], supports efficient numerical approximation schemes and allows for a complete characterization of equivalent local martingale measures. In addition, we further investigate the implied volatility surfaces produced by the SVV model and demonstrate how the choice of the Gaussian Volterra driver can combine features of both roughness and long-memory.

Date: 2026
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DOI: 10.1007/978-3-032-26576-0_7

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