Gilles Pages

Path-Dependent Stochastic Processes

On Path-dependent Volterra Integral Equations: Strong Well-posedness and Stochastic Numerics.

The aim of this paper is to provide a comprehensive analysis of the path-dependent Stochastic Volterra Integral Equations (SVIEs), in which both the drift and the diffusion …

avatar
Emmanuel G.
•
Read more
Hawkes Processes

Fake stationary rough Heston volatility: Microstructure-inspired foundations

This paper investigates the asymptotic behavior of suitably time-modulated Hawkes processes with heavy-tailed kernels in a nearly unstable regime.

avatar
Emmanuel G.
•
Read more
Affine Volterra Processes

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model

This paper presents a new theory for the stationarity of stochastic Volterra integral equations.

emmanuel-gnabeyeu
•
Read more
Stochastic Volterra Processes

On a Stationarity Theory for Stochastic Volterra Integral Equations

This paper presents a new theory for the stationarity of stochastic Volterra integral equations.

avatar
Emmanuel G.
•
Read more