Working-Paper

Stochastic Volterra Processes

On (fake) Stationarity in Stochastic Volterra Equations with Affine Drift and Regular Kernels.

We investigate the fake stationarity properties of solutions to forward Stochastic Volterra Integral Equations (SVIEs) with affine drift and long-memory (regular) kernels, both on …

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Emmanuel G.
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Affine Volterra Processes With Jumps

Optimal Merton's Problem under Multivariate Affine Volterra Models with Jumps.

We tackle the problem of Utility Maximization under Multivariate Affine Volterra Models with Jumps via BSDEJs and Martingale Optimality Principle: The resulting optimal …

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Emmanuel G.
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