Hybrid simulation scheme for volatility modulated moving average fields

DOI10.1016/J.MATCOM.2019.04.006OpenAlexW2751467182MaRDI QIDQ1997699FDOQ1997699

Authors: Claudio Heinrich, Mikko S. Pakkanen, Almut E. D. Veraart 

Publication date: 2 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.01310

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Mat%EF%BF%BD%EF%BF%BDrn+covariance&go=Go Mat��rn covariance]simulationrandom fieldstochastic volatilitymoving average

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Stochastic processes (60Gxx) Markov processes (60Jxx)

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Cited In (3)

• Functional central limit theorems for rough volatility
• Hybrid simulation scheme for volatility modulated moving average fields
• Deep Curve-Dependent PDEs for Affine Rough Volatility

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