Affine Rough Models
Mathematical Finance
2018-12-21 v1 Probability
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.
Cite
@article{arxiv.1812.08486,
title = {Affine Rough Models},
author = {Martin Keller-Ressel and Martin Larsson and Sergio Pulido},
journal= {arXiv preprint arXiv:1812.08486},
year = {2018}
}