A fast algorithm for simulation of rough volatility models (Q5072905): Difference between revisions

@@ Property / cites work @@
+Lifting the Heston model
@@ Property / cites work: Lifting the Heston model / rank @@
+Normal rank
@@ Property / cites work @@
+Multifactor Approximation of Rough Volatility Models
+Normal rank
@@ Property / cites work @@
+Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
+Normal rank
@@ Property / cites work @@
+Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
+Normal rank
@@ Property / cites work @@
+Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation
+Normal rank
@@ Property / cites work @@
+Perfect hedging in rough Heston models
@@ Property / cites work: Perfect hedging in rough Heston models / rank @@
+Normal rank
@@ Property / cites work @@
+The characteristic function of rough Heston models
+Normal rank
@@ Property / cites work @@
+The microstructural foundations of leverage effect and rough volatility
+Normal rank
@@ Property / cites work @@
+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Behavior of the Fractional Heston Model
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Limit theorems for nearly unstable Hawkes processes
+Normal rank
@@ Property / cites work @@
+Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
+Normal rank
@@ Property / cites work @@
+Fast Evaluation of the Caputo Fractional Derivative and its Applications to Fractional Diffusion Equations
+Normal rank
@@ Property / cites work @@
+Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
+Normal rank
@@ Property / cites work @@
+Q3579593
@@ Property / cites work: Q3579593 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank