Multifactor Approximation of Rough Volatility Models (Q5227408)
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scientific article; zbMATH DE number 7086437
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multifactor Approximation of Rough Volatility Models |
scientific article; zbMATH DE number 7086437 |
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Multifactor Approximation of Rough Volatility Models (English)
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26 July 2019
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rough volatility models
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rough Heston models
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stochastic Volterra equations
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affine Volterra processes
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fractional Riccati equations
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limit theorems
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