Lifted Heston model: efficient Monte Carlo simulation with large time steps

DOI10.1137/25M1815614MaRDI QIDQ7389894zbMATH OpenFDO

Authors Nicola F. Zaugg, Lech A. Grzelak

Publication date 2026

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/25M1815614

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

Cites work

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• scientific article; zbMATH DE number 3635287 (Why is no real title available?)
• Lifting the Heston model
• Markovian approximations of stochastic Volterra equations with the fractional kernel
• Mathematical modeling and computation in finance. With exercises and Python and MATLAB computer codes
• ON CONTINUOUS MARTINGALES
• On the Discrete-Time Simulation of the Rough Heston Model
• On the discretization schemes for the CIR (and Bessel squared) processes
• Pricing under rough volatility
• Rough volatility
• Strong convergence rates for Markovian representations of fractional processes
• The characteristic function of rough Heston models
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions

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