ROUGH-HESTON LOCAL-VOLATILITY MODEL (Q6119773): Difference between revisions

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+Lifting the Heston model
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+Markovian structure of the Volterra Heston model
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+Multifactor Approximation of Rough Volatility Models
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+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
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+Solving mean field rough differential equations
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+Normal rank
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+A regularity structure for rough volatility
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+Normal rank
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+Pricing under rough volatility
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+Normal rank
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+Computing the implied volatility in stochastic volatility models
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+Mimicking an Itō process by a solution of a stochastic differential equation
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+American Options in the Volterra Heston Model
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+Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
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+The characteristic function of rough Heston models
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+Small‐time, large‐time, and  asymptotics for the Rough Heston model
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+Asymptotic analysis for stochastic volatility: martingale expansion
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+Volatility is rough
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+Normal rank
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+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Inverting the Markovian projection, with an application to local stochastic volatility models
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+SMILE MODELING IN COMMODITY MARKETS
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+Publication:6119773