Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations (Q265269)
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scientific article; zbMATH DE number 6562297
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations |
scientific article; zbMATH DE number 6562297 |
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Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations (English)
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1 April 2016
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hyperbolic stochastic partial differential equations
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finite difference scheme
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semistationary Lévy processes
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volatility modulated Volterra processes
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