A fast algorithm for simulation of rough volatility models

DOI10.1080/14697688.2021.1970213zbMath1490.91218OpenAlexW3207228668MaRDI QIDQ5072905

Haofei Wu, Jingtang Ma

Publication date: 5 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.1970213

zbMATH Keywords

fractional Brownian motionregime switchingMonte Carlo methodsfast simulation algorithmsrough Heston models

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A fast Euler-Maruyama method for Riemann-Liouville stochastic fractional nonlinear differential equations ⋮ Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent ⋮ A fast Euler-Maruyama method for fractional stochastic differential equations

Uses Software

• DLMF
• SimEstFBM

Cites Work

• Unnamed Item
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Strong superconvergence of the Euler-Maruyama method for linear stochastic Volterra integral equations
• Perfect hedging in rough Heston models
• The microstructural foundations of leverage effect and rough volatility
• Stochastic calculus for finance. II: Continuous-time models.
• Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
• Limit theorems for nearly unstable Hawkes processes
• Asymptotic Behavior of the Fractional Heston Model
• Volatility is rough
• Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)
• Lifting the Heston model
• Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation
• Fast Evaluation of the Caputo Fractional Derivative and its Applications to Fractional Diffusion Equations
• Multifactor Approximation of Rough Volatility Models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• The characteristic function of rough Heston models

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