The following pages link to Affine forward variance models (Q1999593):
Displaying 33 items.
- Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
- A weak solution theory for stochastic Volterra equations of convolution type (Q2075334) (← links)
- Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
- COVID-19 and credit risk: a long memory perspective (Q2138614) (← links)
- Forests, cumulants, martingales (Q2139104) (← links)
- Inhomogeneous affine Volterra processes (Q2145777) (← links)
- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations (Q2155507) (← links)
- Moment explosions in the rough Heston model (Q2292054) (← links)
- A martingale approach for fractional Brownian motions and related path dependent PDEs (Q2299585) (← links)
- Markovian structure of the Volterra Heston model (Q2322574) (← links)
- The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
- Volatility has to be rough (Q5014164) (← links)
- Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (Q5014187) (← links)
- Time-Inconsistency with Rough Volatility (Q5019592) (← links)
- PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492) (← links)
- Robust control in a rough environment (Q5072907) (← links)
- American Options in the Volterra Heston Model (Q5080128) (← links)
- Volatility Options in Rough Volatility Models (Q5112731) (← links)
- A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205) (← links)
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245) (← links)
- Exponentiation of conditional expectations under stochastic volatility (Q5215433) (← links)
- RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001) (← links)
- Unified signature cumulants and generalized Magnus expansions (Q5866307) (← links)
- Utility Maximization in Multivariate Volterra Models (Q5886358) (← links)
- Small‐time, large‐time, and asymptotics for the Rough Heston model (Q6078436) (← links)
- Deep Curve-Dependent PDEs for Affine Rough Volatility (Q6159075) (← links)
- Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889) (← links)
- Local volatility under rough volatility (Q6187367) (← links)
- Affine Volterra processes with jumps (Q6189179) (← links)
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
- A generalization of the rational rough Heston approximation (Q6546320) (← links)
- Implied roughness in the term structure of oil market volatility (Q6576878) (← links)
- Statistical inference for rough volatility: minimax theory (Q6621523) (← links)
