Pages that link to "Item:Q5743116"
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The following pages link to The characteristic function of rough Heston models (Q5743116):
Displaying 50 items.
- The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
- A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
- Short-dated smile under rough volatility: asymptotics and numerics (Q5072906) (← links)
- Robust control in a rough environment (Q5072907) (← links)
- American Options in the Volterra Heston Model (Q5080128) (← links)
- Small-time moderate deviations for the randomised Heston model (Q5109487) (← 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)
- 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)
- Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
- OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
- Log-Modulated Rough Stochastic Volatility Models (Q5162852) (← links)
- Exponentiation of conditional expectations under stochastic volatility (Q5215433) (← links)
- Multifactor Approximation of Rough Volatility Models (Q5227408) (← links)
- Short-time near-the-money skew in rough fractional volatility models (Q5234338) (← links)
- RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001) (← links)
- The Randomized Heston Model (Q5742496) (← links)
- A regularity structure for rough volatility (Q5855942) (← links)
- Fractional Brownian motion in superharmonic potentials and non-Boltzmann stationary distributions (Q5874036) (← links)
- WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691) (← links)
- Utility Maximization in Multivariate Volterra Models (Q5886358) (← links)
- On the Discrete-Time Simulation of the Rough Heston Model (Q5886364) (← links)
- Volterra equations driven by rough signals 2: Higher-order expansions (Q5887744) (← links)
- Electricity Intraday Price Modelling with Marked Hawkes Processes (Q6039999) (← links)
- The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
- Small‐time, large‐time, and asymptotics for the Rough Heston model (Q6078436) (← links)
- THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY (Q6095480) (← 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)
- A GMM approach to estimate the roughness of stochastic volatility (Q6108276) (← links)
- ROUGH-HESTON LOCAL-VOLATILITY MODEL (Q6119773) (← links)
- Volterra square-root process: stationarity and regularity of the law (Q6126106) (← links)
- Approximation of Stochastic Volterra Equations with kernels of completely monotone type (Q6140843) (← links)
- One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients (Q6152042) (← links)
- Stochastic Volterra equations with Hölder diffusion coefficients (Q6157004) (← 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)
- Calibrating fractional Vasicek model (Q6169355) (← links)
- Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889) (← links)
- Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations (Q6176641) (← links)
- On the existence of weak solutions to stochastic Volterra equations (Q6177618) (← links)
- Local volatility under rough volatility (Q6187367) (← links)
- Affine Volterra processes with jumps (Q6189179) (← links)
- Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
