Rough paths and rough volatility

DOI10.14279/DEPOSITONCE-20353MaRDI QIDQ6630939zbMATH OpenFDO

Authors Simon Breneis

Publication date 31 October 2024

Full work available at URL https://doi.org/10.14279/DEPOSITONCE-20353

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Rough paths (60L20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(3)

• A generalization of the rational rough Heston approximation
• Functional central limit theorems for rough volatility
• Efficient option pricing in the rough Heston model using weak simulation schemes

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