On stochastic integration for volatility modulated L\'{e}vy-driven   Volterra processes
  This papers develops a stochastic integration theory with respect to volatility modulated L\'{e}vy-driven Volterra (VMLV) processes. It extends recent results in the literature to allow for stochastic volatility and pure jump processes in the integrator. The new integration operator is based on Malliavin calculus and describes an anticipative integral. Fundamental properties of the integral are derived and important applications are given. 
Ole E. Barndorff-Nielsen, Fred Espen Benth, Jan Pedersen, Almut E. D.   Veraart
math.PR