Time-Inconsistency with Rough Volatility (Q5019592): Difference between revisions
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scientific article; zbMATH DE number 7454673
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-Inconsistency with Rough Volatility |
scientific article; zbMATH DE number 7454673 |
Statements
Time-Inconsistency with Rough Volatility (English)
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10 January 2022
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time-inconsistency
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rough volatility
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functional Itô calculus
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mean-variance portfolio selection
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Volterra Heston model
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