Author

Sven Karbach

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Preprint Sep 2026

Affine pure-jump Volterra fields

We study a class of non-negative spatio-temporal random fields that exhibit self-exciting clustering, which we refer to as affine pure-jump Volterra fields. They are defined via stochastic integration of a Volterra kernel against a thinned Poisson random measure and the thinning is such that the field admits a represen...

Sven Karbach, Thomas K. Kloster · 0 citations

Preprint Sep 2026

Pricing and Hedging of Discretely Monitored Asian Options in the Volterra-Heston Model

We develop semi-closed pricing formulas and lifted-model hedging methods for discretely monitored geometric and arithmetic Asian options in the Volterra-Heston stochastic volatility model. Exploiting the affine Volterra structure, we derive a tractable transform for the joint law of the terminal log-price and the discr...

G. Custers, Sven Karbach, Martin Friesen · 0 citations