Asymptotics for multifactor Volterra type stochastic volatility models

2021/09/20 by Giulia Catalini, Catalini, Giulia, Barbara Pacchiarotti +1
Economics, Econometrics and Finance · Social Sciences · #60F10 #60G15 #60G22 #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2109.09448

openalex publication_date 2021/09/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

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