QFinLab – Department of Mathematics, Politecnico di Milano

December 9, 2025, 12.15-13.15

Seminar room, third floor, building 14, Leonardo Campus

Sergio Pulido (Université Paris–Saclay, CNRS, ENSIIE, Univ Évry, LaMME)

 Polynomial Volterra processes

Abstract: Recent studies have extended the theory of affine processes to the stochastic Volterra equations framework. In this talk, I will describe how the theory of polynomial processes extends to the Volterra setting. In particular, I will explain the moment formula and an interesting stochastic invariance result in this context. Potential applications to fractional volatility models will be discussed.

 This is joint work with Eduardo Abi Jaber, Christa Cuchiero, Luca Pelizzari and Sara Svaluto-Ferro.