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PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES - MaRDI portal

PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (Q5061492)

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scientific article; zbMATH DE number 7488283
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English
PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES
scientific article; zbMATH DE number 7488283

    Statements

    title
    PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES (English)
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    author
    Jean-Loup Dupret
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    Donatien Hainaut
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    publication date
    11 March 2022
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    zbMATH Keywords
    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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    Identifiers

    zbMATH DE Number
    7488283
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    OpenAlex ID
    W3214993207
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