EconPapers    
Economics at your fingertips  
 

Affine forward variance models

Jim Gatheral and Martin Keller-Ressel

Papers from arXiv.org

Abstract: We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can be characterized by the affine form of their cumulant generating function, which can be obtained as solution of a convolution Riccati equation. We further introduce the class of affine forward order flow intensity (AFI) models, which are structurally similar to AFV models, but driven by jump processes, and which include Hawkes-type models. We show that the cumulant generating function of an AFI model satisfies a generalized convolution Riccati equation and that a high-frequency limit of AFI models converges in distribution to the AFV model.

Date: 2018-01, Revised 2018-10
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1801.06416 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1801.06416

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2018-10-31
Handle: RePEc:arx:papers:1801.06416