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Asymptotics for multifactor Volterra type stochastic volatility models by Catalini, Giulia; Pacchiarotti, Barbara is a scholarly article available to read on EtoBox.

What is Asymptotics for multifactor Volterra type stochastic volatility models about?

We study multidimensional stochastic volatility models in which the volatility process is a positive continuous function of a continuous multidimensional Volterra process that can be not self-similar. The main results obtained in this paper are a generalization of the results due, in the one-dimensional case, to Cellupica and Pacchiarotti [M. Cellupica and B. Pacchiarotti (2021) Pathwise Asymptotics for Volterra Type Stochastic Volatility Models. Journal of Theoretical Probability, 34(2):682--727]. We state some (pathwise and finite-dimensional) large deviation principles for the scaled log-price and as a consequence some (pathwise and finite-dimensional) short-time large deviation principles.

Author

Catalini, Giulia; Pacchiarotti, Barbara

Published

2021

Language

EN