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On a Stationarity Theory for Stochastic Volterra Integral Equations with Affine Drift
Emmanuel Gnabeyeu / Gilles Pagès
stochastic processesResource overview

On a Stationarity Theory for Stochastic Volterra Integral Equations with Affine Drift

Paper2025

by Emmanuel Gnabeyeu, Gilles Pagès

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stochastic processes

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Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

Go further

  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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