Lifting the Heston model
From MaRDI portal
Publication:5120731
DOI10.1080/14697688.2019.1615113zbMath1441.91093arXiv1810.04868OpenAlexW2962802749WikidataQ127543527 ScholiaQ127543527MaRDI QIDQ5120731
Publication date: 16 September 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.04868
Related Items
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Inhomogeneous affine Volterra processes ⋮ PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES ⋮ A fast algorithm for simulation of rough volatility models ⋮ Robust control in a rough environment ⋮ American Options in the Volterra Heston Model ⋮ Forecasting with fractional Brownian motion: a financial perspective ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ The EWMA Heston model ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ ROUGH-HESTON LOCAL-VOLATILITY MODEL ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ High-order methods for the option pricing under multivariate rough volatility models ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ Local volatility under rough volatility ⋮ Rough Heston Models with Variable Vol-of-Vol and Option Pricing ⋮ Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model ⋮ Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation ⋮ Optimal Market Making with Persistent Order Flow ⋮ Strong convergence rates for Markovian representations of fractional processes ⋮ Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels ⋮ Mean-variance portfolio selection under Volterra Heston model ⋮ Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models ⋮ Integral Operator Riccati Equations Arising in Stochastic Volterra Control Problems ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge ⋮ Time-Inconsistency with Rough Volatility
Cites Work
- Unnamed Item
- Unnamed Item
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- Perfect hedging in rough Heston models
- A predictor-corrector approach for the numerical solution of fractional differential equations
- Affine Volterra processes
- Markovian lifts of positive semidefinite affine Volterra-type processes
- Markovian structure of the Volterra Heston model
- Affine diffusions and related processes: simulation, theory and applications
- First order \(p\)-variations and Besov spaces
- A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
- A multifactor volatility Heston model
- Volatility is rough
- Short-time at-the-money skew and rough fractional volatility
- Financial Modelling with Jump Processes
- The Variance Gamma Process and Option Pricing
- Pricing under rough volatility
- Multifactor Approximation of Rough Volatility Models
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
- Approximation of the fractional Brownian sheetVIAOrnstein-Uhlenbeck sheet
- The characteristic function of rough Heston models
- Approximation of some processes
- Hybrid scheme for Brownian semistationary processes
