Volatility Modulated Volterra Processes
2018
This chapter introduces the class of volatility modulated Volterra processes. We define these processes and discuss basic probabilistic properties with focus on the temporal dependency structure. Several examples are introduced, with particular emphasis on Brownian semistationary processes having generalised hyperbolic marginal distribution. Apart from examples of stochastic volatility processes, we also discuss time change as a tool for volatility modulation.
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