Jiro Akahori, Ritsumeikan University

Stochastic Volatility Models of Quadratic Volterra Gaussian Type

Abstract

In the talk I will introduce first a class of asset price models where state variables are given by (infinite dimensional) quadratic Gaussian processes, and show that (some of) classical Heston models belong to the class. We then introduce a “fractional volatility” extension of Heston model within the class and discuss some mathematical properties. 

(joint work with Xiaoming Song, and Tai-Ho Wang)