Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (Q4991674): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Affine Volterra processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exponentiation of conditional expectations under stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long memory in continuous-time stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A predictor-corrector approach for the numerical solution of fractional differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Detailed error analysis for a fractional Adams method / rank
 
Normal rank
Property / cites work
 
Property / cites work: The characteristic function of rough Heston models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility is rough / rank
 
Normal rank
Property / cites work
 
Property / cites work: RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moment explosions in the rough Heston model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Behavior of the Fractional Heston Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Extensions of W. Gautschi's Inequalities for the Gamma Function / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3141895 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calibrating rough volatility models: a convolutional neural network approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Expansion of the global error for numerical schemes solving stochastic differential equations / rank
 
Normal rank

Latest revision as of 22:08, 25 July 2024

scientific article; zbMATH DE number 7354639
Language Label Description Also known as
English
Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
scientific article; zbMATH DE number 7354639

    Statements

    Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (English)
    0 references
    0 references
    0 references
    0 references
    3 June 2021
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    fractional Brownian motion
    0 references
    fractional Riccati equation
    0 references
    rough Heston model
    0 references
    power series representation
    0 references
    0 references
    0 references