PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492)
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scientific article; zbMATH DE number 7488283
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES |
scientific article; zbMATH DE number 7488283 |
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PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (English)
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11 March 2022
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portfolio insurance
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CPPI
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Volterra process
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rough volatility
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particle Monte Carlo Markov chain
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