The following pages link to Lifting the Heston model (Q5120731):
Displayed 27 items.
- Strong convergence rates for Markovian representations of fractional processes (Q2033871) (← links)
- Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels (Q2040079) (← links)
- Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
- Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge (Q2094349) (← links)
- Inhomogeneous affine Volterra processes (Q2145777) (← links)
- Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation (Q2240882) (← links)
- The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
- Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (Q4987721) (← links)
- Integral Operator Riccati Equations Arising in Stochastic Volterra Control Problems (Q4990315) (← links)
- Time-Inconsistency with Rough Volatility (Q5019592) (← links)
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
- PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492) (← links)
- A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
- Robust control in a rough environment (Q5072907) (← links)
- American Options in the Volterra Heston Model (Q5080128) (← links)
- Forecasting with fractional Brownian motion: a financial perspective (Q5092662) (← links)
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245) (← links)
- Optimal Market Making with Persistent Order Flow (Q5162846) (← links)
- The Laplace transform of the integrated Volterra Wishart process (Q6054411) (← links)
- The EWMA Heston model (Q6101022) (← links)
- Optimal reinsurance-investment with loss aversion under rough Heston model (Q6101023) (← links)
- ROUGH-HESTON LOCAL-VOLATILITY MODEL (Q6119773) (← links)
- Deep Curve-Dependent PDEs for Affine Rough Volatility (Q6159075) (← links)
- High-order methods for the option pricing under multivariate rough volatility models (Q6161539) (← links)
- Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889) (← links)
- Local volatility under rough volatility (Q6187367) (← links)
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)