Pages that link to "Item:Q1634189"
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The following pages link to Perfect hedging in rough Heston models (Q1634189):
Displaying 50 items.
- Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint (Q1990028) (← links)
- Affine forward variance models (Q1999593) (← links)
- Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
- Asymptotics for volatility derivatives in multi-factor rough volatility models (Q2037765) (← links)
- Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
- Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
- Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
- Inhomogeneous affine Volterra processes (Q2145777) (← links)
- Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations (Q2155507) (← links)
- Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation (Q2240882) (← links)
- Affine Volterra processes (Q2286463) (← links)
- Moment explosions in the rough Heston model (Q2292054) (← links)
- A martingale approach for fractional Brownian motions and related path dependent PDEs (Q2299585) (← links)
- Markovian structure of the Volterra Heston model (Q2322574) (← links)
- Fractional Cox-Ingersoll-Ross process with small Hurst indices (Q2326528) (← links)
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process (Q2682955) (← links)
- Multivariate claim processes with rough intensities: properties and estimation (Q2682990) (← links)
- Ramification of Volterra-type rough paths (Q2685136) (← links)
- Delta-hedging in fractional volatility models (Q2694770) (← links)
- Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (Q4987721) (← links)
- Volatility has to be rough (Q5014164) (← links)
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (Q5014167) (← links)
- Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (Q5014187) (← links)
- Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
- PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492) (← links)
- The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
- A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
- Trading Signals in VIX Futures (Q5075243) (← links)
- American Options in the Volterra Heston Model (Q5080128) (← links)
- A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597) (← links)
- Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
- Optimal Hedging Under Fast-Varying Stochastic Volatility (Q5112725) (← links)
- Volatility Options in Rough Volatility Models (Q5112731) (← links)
- Lifting the Heston model (Q5120731) (← links)
- The Zumbach effect under rough Heston (Q5121491) (← links)
- A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205) (← links)
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245) (← links)
- OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
- Exponentiation of conditional expectations under stochastic volatility (Q5215433) (← links)
- Multifactor Approximation of Rough Volatility Models (Q5227408) (← links)
- The Randomized Heston Model (Q5742496) (← links)
- The characteristic function of rough Heston models (Q5743116) (← links)
- Small‐time, large‐time, and asymptotics for the Rough Heston model (Q6078436) (← links)
- Markovian approximations of stochastic Volterra equations with the fractional kernel (Q6101020) (← links)
- The EWMA Heston model (Q6101022) (← links)
- Optimal reinsurance-investment with loss aversion under rough Heston model (Q6101023) (← links)
- Volterra square-root process: stationarity and regularity of the law (Q6126106) (← links)
- Deep Curve-Dependent PDEs for Affine Rough Volatility (Q6159075) (← links)
- High-order methods for the option pricing under multivariate rough volatility models (Q6161539) (← links)
- Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process (Q6168749) (← links)
