you are all invited to participate in the following seminar organized by QFinLab - Department of Mathematics, Politecnico di Milano.
Tuesday, 9 December 2025, 12.15-13.15
Sergio Pulido (ENSIIE, LaMME)
Title: 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.
All news can be found on the QFinLab
webpage.
The organizers: Michele Azzone and Alessandro Calvia.