Pages that link to "Item:Q2292054"
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The following pages link to Moment explosions in the rough Heston model (Q2292054):
Displaying 19 items.
- Moment explosion in the LIBOR market model (Q633049) (← links)
- Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
- On the martingale property in the rough Bergomi model (Q2422728) (← links)
- Moment explosions in stochastic volatility models (Q2463702) (← links)
- Difference Equation Theory Meets Mathematical Finance (Q3387111) (← links)
- Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (Q4991674) (← 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)
- Robust control in a rough environment (Q5072907) (← links)
- Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
- A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205) (← links)
- Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
- On the Discrete-Time Simulation of the Rough Heston Model (Q5886364) (← links)
- Small‐time, large‐time, and asymptotics for the Rough Heston model (Q6078436) (← links)
- Volterra square-root process: stationarity and regularity of the law (Q6126106) (← links)
- Statistical inference for rough volatility: minimax theory (Q6621523) (← links)
- Option pricing in sandwiched Volterra volatility model (Q6623043) (← links)
- Efficient option pricing in the rough Heston model using weak simulation schemes (Q6657699) (← links)
