Volterra Volatility Models

Giulia Di Nunno (), Yuliya Mishura () and Anton Yurchenko-Tytarenko ()
Additional contact information
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

in Springer Finance from Springer, currently edited by Francesca Biagini, Bruno Bouchard, Mark Broadie, Paolo Guasoni, Charles-Albert Lehalle, Mathieu Rosenbaum

Date: 2026
ISBN: 978-3-032-26576-0
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Chapters in this book:

Ch 1 Volatility: Data, Models, and the Road Ahead

Giulia Di Nunno, Yuliya Mishura and Anton Yurchenko-Tytarenko

Ch 2 Cox–Ingersoll–Ross Process and Skorokhod Problems

Giulia Di Nunno, Yuliya Mishura and Anton Yurchenko-Tytarenko

Ch 3 Sandwiched Processes Driven by Hölder Noises

Giulia Di Nunno, Yuliya Mishura and Anton Yurchenko-Tytarenko

Ch 4 Volatility Models with Explosive Drifts

Giulia Di Nunno, Yuliya Mishura and Anton Yurchenko-Tytarenko

Ch 5 Drift-Implicit Euler Scheme

Giulia Di Nunno, Yuliya Mishura and Anton Yurchenko-Tytarenko

Ch 6 Gaussian Volterra Drivers

Giulia Di Nunno, Yuliya Mishura and Anton Yurchenko-Tytarenko

Ch 7 The SVV Model of Financial Market

Giulia Di Nunno, Yuliya Mishura and Anton Yurchenko-Tytarenko

Ch 8 Numerical Techniques for Option Pricing in the SVV Model

Giulia Di Nunno, Yuliya Mishura and Anton Yurchenko-Tytarenko

Ch 9 Quadratic Hedging in the SVV Model

Giulia Di Nunno, Yuliya Mishura and Anton Yurchenko-Tytarenko

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DOI: 10.1007/978-3-032-26576-0

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