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arXiv · 2203.06400

Affine Volterra processes with jumps

Alessandro Bondi·Giulia Livieri·Sergio Pulido
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Abstract

The theory of affine processes has been recently extended to the framework of stochastic Volterra equations with continuous trajectories. These so-called affine Volterra processes overcome modeling shortcomings of affine processes because they can have trajectories whose regularity is different from the regularity of 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 together with possible singularities of the kernel may induce explosions of the trajectories.

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Alessandro Bondi, Giulia Livieri, Sergio Pulido. 2022-03-12. Affine Volterra processes with jumps. https://arxiv.org/abs/2203.06400

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