Rational approximation of the rough Heston solution
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Cites work
- A review of operational matrices and spectral techniques for fractional calculus
- Affine forward variance models
- Application of variational iteration method to nonlinear differential equations of fractional order
- Asymptotic behavior of solutions to nonlinear initial-value fractional differential problems
- Decomposition method for solving fractional Riccati differential equations
- Detailed error analysis for a fractional Adams method
- Exponentiation of conditional expectations under stochastic volatility
- Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
- Global Padé approximations of the generalized Mittag-Leffler function and its inverse
- scientific article; zbMATH DE number 1303930 (Why is no real title available?)
- scientific article; zbMATH DE number 822685 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Modified homotopy perturbation method: Application to quadratic Riccati differential equation of fractional order
- Multifactor approximation of rough volatility models
- Padé approximants of the Mittag-Leffler functions
- Rational solutions for the time-fractional diffusion equation
- Reflections on the Baker-Gammel-Wills (Padé) conjecture
- Rogers-Ramanujan and the Baker-Gammel-Wills (Padé) conjecture
- Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
- Series solutions of non-linear Riccati differential equations with fractional order
- The characteristic function of rough Heston models
Cited in
(26)- Perfect hedging in rough Heston models
- Pricing of spread and exchange options in a rough jump-diffusion market
- Forests, cumulants, martingales
- A robust spectral method for solving Heston's model
- The Heston Riemannian distance function
- The characteristic function of Gaussian stochastic volatility models: an analytic expression
- Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
- The SINC way: a fast and accurate approach to Fourier pricing
- Stationary Heston model: calibration and pricing of exotics using product recursive quantization
- Lifting the Heston model
- The Zumbach effect under rough Heston
- Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation
- Exponentiation of conditional expectations under stochastic volatility
- Multifactor approximation of rough volatility models
- The characteristic function of rough Heston models
- On the Discrete-Time Simulation of the Rough Heston 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
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing
- A generalization of the rational rough Heston approximation
- Implied roughness in the term structure of oil market volatility
- Short time behavior of the ATM implied skew in the ADO-Heston model
- Deep calibration with random grids
- Computing the SSR
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