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Affine Rough Models

Martin Keller-Ressel, Martin Larsson and Sergio Pulido

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Abstract: The goal of this survey article is to explain and elucidate the affine structure of recent models appearing in the rough volatility literature, and show how it leads to exponential-affine transform formulas.

Date: 2018-12
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Handle: RePEc:arx:papers:1812.08486