Pages that link to "Item:Q5227408"

The following pages link to Multifactor Approximation of Rough Volatility Models (Q5227408):

Displaying 50 items.

• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (Q2021524) (← links)
• Strong convergence rates for Markovian representations of fractional processes (Q2033871) (← 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)
• Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
• Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions (Q2094415) (← links)
• Inhomogeneous affine Volterra processes (Q2145777) (← links)
• Discrete-time simulation of stochastic Volterra equations (Q2238886) (← links)
• Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation (Q2240882) (← 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)
• Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis (Q2695670) (← links)
• A multifactor volatility Heston model (Q3539544) (← links)
• Pricing American options by exercise rate optimization (Q4957236) (← links)
• Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (Q4987721) (← links)
• Buy rough, sell smooth (Q4991027) (← links)
• Time-Inconsistency with Rough Volatility (Q5019592) (← links)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
• A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
• Robust control in a rough environment (Q5072907) (← links)
• American Options in the Volterra Heston Model (Q5080128) (← links)
• Forecasting with fractional Brownian motion: a financial perspective (Q5092662) (← links)
• Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
• Lifting the Heston model (Q5120731) (← links)
• (Q5155966) (← links)
• RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001) (← links)
• WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691) (← links)
• On the Discrete-Time Simulation of the Rough Heston Model (Q5886364) (← links)
• Volatility is (mostly) path-dependent (Q6053108) (← links)
• The Laplace transform of the integrated Volterra Wishart process (Q6054411) (← links)
• Markovian approximations of stochastic Volterra equations with the fractional kernel (Q6101020) (← links)
• Optimal reinsurance-investment with loss aversion under rough Heston model (Q6101023) (← links)
• ROUGH-HESTON LOCAL-VOLATILITY MODEL (Q6119773) (← 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)
• High-order methods for the option pricing under multivariate rough volatility models (Q6161539) (← links)
• Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889) (← links)
• On the existence of weak solutions to stochastic Volterra equations (Q6177618) (← links)
• Affine Volterra processes with jumps (Q6189179) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
• A mutually exciting rough jump-diffusion for financial modelling (Q6495741) (← links)
• Short time behavior of the ATM implied skew in the ADO-Heston model (Q6581627) (← links)
• Partial hedging in rough volatility models (Q6585785) (← links)
• Statistical inference for rough volatility: central limit theorems (Q6591582) (← links)
• Statistical inference for rough volatility: minimax theory (Q6621523) (← links)
• Reconciling rough volatility with jumps (Q6623042) (← links)
• Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations (Q6635684) (← links)