Rough affine models

Martin Keller-Ressel, Martin Larsson and Sergio Pulido ()
Additional contact information
Martin Keller-Ressel: TU Dresden - Technische Universität Dresden = Dresden University of Technology
Martin Larsson: D-MATH - Department of Mathematics [ETH Zurich] - ETH Zürich - Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology [Zürich]
Sergio Pulido: ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise, LaMME - Laboratoire de Mathématiques et Modélisation d'Evry - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

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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: 2023
New Economics Papers: this item is included in nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-02265210v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Rough Volatility, 2023, 978-1-61197-777-6. ⟨10.1137/1.9781611977783⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02265210

DOI: 10.1137/1.9781611977783

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