Markovian approximations of stochastic Volterra equations with the fractional kernel (Q6101020): Difference between revisions

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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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+Pricing under rough volatility
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+Numerical integration IV. Proceedings of the conference at the Mathematical Research Institute, Oberwolfach, Germany, November 8-14, 1992
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+Q3095368
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+Fractional Brownian motion and the Markov property
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+A predictor-corrector approach for the numerical solution of fractional differential equations
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+Detailed error analysis for a fractional Adams method
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+Perfect hedging in rough Heston models
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+The characteristic function of rough Heston models
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+Volatility is rough
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+On the fractional Adams method
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