Pages that link to "Item:Q5743116"

The following pages link to The characteristic function of rough Heston models (Q5743116):

Displaying 50 items.

• Fractional Cox-Ingersoll-Ross process with non-zero ``mean'' (Q1641938) (← links)
• Affine forward variance models (Q1999593) (← links)
• Duality for pathwise superhedging in continuous time (Q1999600) (← links)
• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
• Infinite-dimensional polynomial processes (Q2022767) (← links)
• Asymptotics for volatility derivatives in multi-factor rough volatility models (Q2037765) (← links)
• Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels (Q2040079) (← links)
• Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
• A weak solution theory for stochastic Volterra equations of convolution type (Q2075334) (← links)
• Model risk in the over-the-counter market (Q2076856) (← links)
• Markov-modulated affine processes (Q2080289) (← links)
• Heston-GA hybrid option pricing model based on ResNet50 (Q2088431) (← links)
• Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
• Optimal convergence rate of modified milstein scheme for SDEs with rough fractional diffusions (Q2101091) (← links)
• The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
• A mean-value approach to solve fractional differential and integral equations (Q2122861) (← links)
• Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
• COVID-19 and credit risk: a long memory perspective (Q2138614) (← links)
• Forests, cumulants, martingales (Q2139104) (← links)
• Inhomogeneous affine Volterra processes (Q2145777) (← links)
• Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations (Q2155507) (← links)
• The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (Q2170237) (← links)
• The multiplicative chaos of \(H=0\) fractional Brownian fields (Q2170373) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• Paracontrolled distribution approach to stochastic Volterra equations (Q2232183) (← links)
• Discrete-time simulation of stochastic Volterra equations (Q2238886) (← links)
• Volterra equations driven by rough signals (Q2239253) (← links)
• Precise asymptotics: robust stochastic volatility models (Q2240838) (← links)
• Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications -- (Q2243926) (← links)
• Affine Volterra processes (Q2286463) (← links)
• Markovian lifts of positive semidefinite affine Volterra-type processes (Q2292045) (← 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)
• The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
• Multivariate claim processes with rough intensities: properties and estimation (Q2682990) (← links)
• Ramification of Volterra-type rough paths (Q2685136) (← links)
• Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis (Q2695670) (← links)
• Difference Equation Theory Meets Mathematical Finance (Q3387111) (← links)
• Self-exciting multifractional processes (Q4964779) (← links)
• Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (Q4987721) (← links)
• Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (Q4991674) (← links)
• DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441) (← 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)
• Time-Inconsistency with Rough Volatility (Q5019592) (← links)
• PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492) (← links)
• Pricing Options under Rough Volatility with Backward SPDEs (Q5065084) (← 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)