<div class="csl-bib-body">
<div class="csl-entry">Wiedermann, K., Friesen, M., & Gerhold, S. (2024, July 12). <i>A small-time central limit theorem for stochastic Volterra integral equations and its implications on the Markov property</i> [Conference Presentation]. 12th Bachelier World Congress, Rio de Janeiro, Brazil.</div>
</div>
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/209477
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dc.description.abstract
In this work, we prove a small-time central limit theorem for the finite-dimensional distributions of solutions to stochastic Volterra integral equations as well as its extension to a
functional CLT, where we focus on coefficients satisfying linear growth and Hölder conditions.
As we consider the (potentially singular) Riemann-Liouville kernel, the Hurst parameter H > 0
plays an essential role in choosing the appropriate normalizing sequence for the CLT. As a consequence, we obtain also the small-time asymptotics for prices of at-the-money digital calls in
market models with sufficient trading limitations. Finally, we prove the absolute continuity of
the solution with respect to the Lebesgue measure under the additional assumption that the
diffusion coefficient does not attain zero. Provided that the densities are sufficiently regular in
time and in combination with the above CLT, we can, moreover, show the non-Markovianity of
the process, which is of importance for applications in mathematical finance as it highlights the
need for more sophisticated concepts for pricing and hedging financial derivatives.
en
dc.language.iso
en
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dc.subject
Stochastic Volterra Integral Equations
en
dc.subject
Central Limit Theorems
en
dc.subject
Non-Markovianity
en
dc.title
A small-time central limit theorem for stochastic Volterra integral equations and its implications on the Markov property
en
dc.type
Presentation
en
dc.type
Vortrag
de
dc.type.category
Conference Presentation
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tuw.researchTopic.id
A4
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tuw.researchTopic.id
A3
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tuw.researchTopic.name
Mathematical Methods in Economics
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tuw.researchTopic.name
Fundamental Mathematics Research
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tuw.researchTopic.value
10
-
tuw.researchTopic.value
90
-
tuw.publication.orgunit
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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tuw.author.orcid
0000-0002-5110-8404
-
tuw.author.orcid
0000-0002-4172-3956
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tuw.event.name
12th Bachelier World Congress
en
tuw.event.startdate
08-07-2024
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tuw.event.enddate
12-07-2024
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tuw.event.online
On Site
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tuw.event.type
Event for scientific audience
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tuw.event.place
Rio de Janeiro
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tuw.event.country
BR
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tuw.event.institution
Bachelier Finance Society, FGV EMAp
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tuw.event.presenter
Wiedermann, Kristof
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tuw.event.track
Multi Track
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wb.sciencebranch
Wirtschaftswissenschaften
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wb.sciencebranch
Mathematik
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wb.sciencebranch.oefos
5020
-
wb.sciencebranch.oefos
1010
-
wb.sciencebranch.value
10
-
wb.sciencebranch.value
90
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item.languageiso639-1
en
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item.openairetype
conference paper not in proceedings
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item.grantfulltext
none
-
item.fulltext
no Fulltext
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item.cerifentitytype
Publications
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item.openairecristype
http://purl.org/coar/resource_type/c_18cp
-
crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
crisitem.author.dept
Dublin City University
-
crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
crisitem.author.orcid
0000-0002-5110-8404
-
crisitem.author.orcid
0000-0002-4172-3956
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik
