Affine Volterra processes with jumps

Alessandro Bondi, Giulia Livieri and Sergio Pulido

Stochastic Processes and their Applications, 2024, vol. 168, issue C

Abstract: The theory of affine processes has been recently extended to continuous stochastic Volterra equations. These so-called affine Volterra processes overcome modeling shortcomings of affine processes by incorporating path-dependent features and trajectories with regularity different from the paths of Brownian motion. More specifically, singular kernels yield rough affine processes. This paper extends the theory by considering affine stochastic Volterra equations with jumps. This extension is not straightforward because the jump structure and possible singularities of the kernel may induce explosions of the trajectories. This study also provides exponential affine formulas for the conditional Fourier–Laplace transform of marked Hawkes processes.

Keywords: Affine processes; Affine Volterra processes; Stochastic Volterra equations; Hawkes processes; Riccati–Volterra equations; Rough volatility (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spa.2023.104264

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