Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)

DOI10.1287/moor.2020.1054zbMath1481.60079arXiv1805.12587OpenAlexW3096355167MaRDI QIDQ4991674

Giorgia Callegaro, Gilles Pagès, Martino Grasselli

Publication date: 3 June 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.12587

zbMATH Keywords

fractional Brownian motionpower series representationrough Heston modelfractional Riccati equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Fractional ordinary differential equations (34A08)

Related Items (12)

Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Forests, cumulants, martingales ⋮ The SINC way: a fast and accurate approach to Fourier pricing ⋮ A fast algorithm for simulation of rough volatility models ⋮ Stationary Heston model: calibration and pricing of exotics using product recursive quantization ⋮ American Options in the Volterra Heston Model ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ High-order methods for the option pricing under multivariate rough volatility models ⋮ RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION ⋮ Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation ⋮ Moment explosions in the rough Heston model

Cites Work

• Unnamed Item
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Detailed error analysis for a fractional Adams method
• A predictor-corrector approach for the numerical solution of fractional differential equations
• Affine Volterra processes
• Moment explosions in the rough Heston model
• Long memory in continuous-time stochastic volatility models
• Some Extensions of W. Gautschi's Inequalities for the Gamma Function
• Asymptotic Behavior of the Fractional Heston Model
• Volatility is rough
• Calibrating rough volatility models: a convolutional neural network approach
• Exponentiation of conditional expectations under stochastic volatility
• Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
• The characteristic function of rough Heston models
• Expansion of the global error for numerical schemes solving stochastic differential equations

This page was built for publication: Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)