Pages that link to "Item:Q5886364"
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The following pages link to On the Discrete-Time Simulation of the Rough Heston Model (Q5886364):
Displaying 15 items.
- Simulating from the Heston model: a gamma approximation scheme (Q500382) (← links)
- Discretely sampled signals and the rough Hoff process (Q737171) (← links)
- A second-order weak approximation of Heston model by discrete random variables (Q904337) (← links)
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters (Q2141232) (← links)
- Discrete-time simulation of stochastic Volterra equations (Q2238886) (← links)
- Moment explosions in the rough Heston model (Q2292054) (← links)
- Parameter estimation for the subcritical Heston model based on discrete time observations (Q2973137) (← links)
- A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
- Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures (Q5108927) (← links)
- RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION (Q5377001) (← links)
- WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691) (← links)
- Cubature Method for Stochastic Volterra Integral Equations (Q6070668) (← links)
- Markovian approximations of stochastic Volterra equations with the fractional kernel (Q6101020) (← links)
- Approximation of Stochastic Volterra Equations with kernels of completely monotone type (Q6140843) (← links)
- Weak Error Rates of Numerical Schemes for Rough Volatility (Q6159079) (← links)
