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Multifactor Approximation of Rough Volatility Models - MaRDI portal

Multifactor Approximation of Rough Volatility Models (Q5227408)

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scientific article; zbMATH DE number 7086437
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English
Multifactor Approximation of Rough Volatility Models
scientific article; zbMATH DE number 7086437

    Statements

    title
    Multifactor Approximation of Rough Volatility Models (English)
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    author
    Eduardo Abi Jaber
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    Omar El Euch
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    publication date
    26 July 2019
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    zbMATH Keywords
    rough volatility models
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    rough Heston models
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    stochastic Volterra equations
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    affine Volterra processes
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    fractional Riccati equations
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    limit theorems
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    Identifiers

    DOI
    10.1137/18M1170236
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    Mathematics Subject Classification ID
    91G60
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    65L05
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    91G20
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    91B70
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    26A33
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    zbMATH DE Number
    7086437
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    arXiv ID
    1801.10359
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    OpenAlex ID
    W3126083004
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