Article

Affine Volterra Processes

On the mean-variance problem through the lens of multivariate fake stationary affine Volterra dynamics.

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

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Emmanuel G.
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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 …

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Emmanuel G.
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Affine Volterra Processes

On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models.

We tackle the problem of Utility Maximization under Multivariate Fake Stationary Affine Volterra Models via BSDEs and Martingale Optimality Principle: The resulting optimal …

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Emmanuel G.
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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.

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Emmanuel G.
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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
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