A fast algorithm for simulation of rough volatility models (Q5072905)
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scientific article; zbMATH DE number 7518198
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast algorithm for simulation of rough volatility models |
scientific article; zbMATH DE number 7518198 |
Statements
A fast algorithm for simulation of rough volatility models (English)
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5 May 2022
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rough Heston models
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fractional Brownian motion
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fast simulation algorithms
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Monte Carlo methods
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regime switching
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