Lifting the Heston model (Q5120731): Difference between revisions

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+W2962802749
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+.04868
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+Markovian structure of the Volterra Heston model
@@ Property / cites work: Markovian structure of the Volterra Heston model / rank @@
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+Multifactor Approximation of Rough Volatility Models
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+Affine Volterra processes
@@ Property / cites work: Affine Volterra processes / rank @@
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+Affine diffusions and related processes: simulation, theory and applications
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+Pricing under rough volatility
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+Hybrid scheme for Brownian semistationary processes
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+Approximation of some processes
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+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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+Approximation of the fractional Brownian sheet<i>VIA</i>Ornstein-Uhlenbeck sheet
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+Markovian lifts of positive semidefinite affine Volterra-type processes
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+A multifactor volatility Heston model
@@ Property / cites work: A multifactor volatility Heston model / rank @@
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+A predictor-corrector approach for the numerical solution of fractional differential equations
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+The characteristic function of rough Heston models
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+Perfect hedging in rough Heston models
@@ Property / cites work: Perfect hedging in rough Heston models / rank @@
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
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+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+Short-time at-the-money skew and rough fractional volatility
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+RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
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+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
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+Q4692887
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q4002473
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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+First order \(p\)-variations and Besov spaces
@@ Property / cites work: First order \(p\)-variations and Besov spaces / rank @@
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+Q127543527
@@ Property / Wikidata QID: Q127543527 / rank @@
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+Publication:5120731