Abstract
The previous chapters studied processes that depend on the convolution of a function and their past sample path. For instance, the fractional Brownian motion of Chap. 6 is proportional to \(\int _{0}^{t}\left (t-u\right )^{H-\frac {1}{2}}\mathrm {d}W_{u}\), where W u is a Brownian motion. In a similar manner, the interest rate model of Chap. 8 in the Brownian case depends upon \(\int _{0}^{t}g(t-u)\,\mathrm {d}W_{u}\), where g is a decreasing kernel function.
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Hainaut, D. (2022). Affine Volterra Processes and Rough Models. In: Continuous Time Processes for Finance. Bocconi & Springer Series, vol 12. Springer, Cham. https://doi.org/10.1007/978-3-031-06361-9_9
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