Markovian approximations of stochastic Volterra equations with the fractional kernel

DOI10.1080/14697688.2022.2139193zbMath1518.91311arXiv2108.05048MaRDI QIDQ6101020

Simon Breneis, Christian Bayer

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.05048

zbMATH Keywords

stochastic Volterra equationfractional kernelstrong errorMarkovian approximationrough volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Cubature Method for Stochastic Volterra Integral Equations

Cites Work

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• Markovian structure of the Volterra Heston model
• Volatility is rough
• Pricing under rough volatility
• Multifactor Approximation of Rough Volatility Models
• The characteristic function of rough Heston models

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