Multifactor Approximation of Rough Volatility Models
From MaRDI portal
Publication:5227408
DOI10.1137/18M1170236zbMath1422.91765arXiv1801.10359OpenAlexW3126083004MaRDI QIDQ5227408
Omar El Euch, Eduardo Abi Jaber
Publication date: 26 July 2019
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.10359
limit theoremsstochastic Volterra equationsfractional Riccati equationsrough volatility modelsaffine Volterra processesrough Heston models
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Fractional derivatives and integrals (26A33) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for initial value problems involving ordinary differential equations (65L05)
Related Items (41)
On the Discrete-Time Simulation of the Rough Heston Model ⋮ Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets ⋮ Inhomogeneous affine Volterra processes ⋮ A fast algorithm for simulation of rough volatility models ⋮ Robust control in a rough environment ⋮ American Options in the Volterra Heston Model ⋮ Forecasting with fractional Brownian motion: a financial perspective ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Volatility is (mostly) path-dependent ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Markovian approximations of stochastic Volterra equations with the fractional kernel ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Multivariate claim processes with rough intensities: properties and estimation ⋮ ROUGH-HESTON LOCAL-VOLATILITY MODEL ⋮ Approximation of Stochastic Volterra Equations with kernels of completely monotone type ⋮ One-dimensional McKean-Vlasov stochastic Volterra equations with Hölder diffusion coefficients ⋮ Stochastic Volterra equations with Hölder diffusion coefficients ⋮ High-order methods for the option pricing under multivariate rough volatility models ⋮ Portfolio Optimization in Fractional and Rough Heston Models ⋮ Impact of rough stochastic volatility models on long-term life insurance pricing ⋮ On the existence of weak solutions to stochastic Volterra equations ⋮ Affine Volterra processes with jumps ⋮ Rough Heston Models with Variable Vol-of-Vol and Option Pricing ⋮ Fast \(\theta\)-Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis ⋮ Lifting the Heston model ⋮ RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION ⋮ Discrete-time simulation of stochastic Volterra equations ⋮ Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation ⋮ Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case ⋮ Strong convergence rates for Markovian representations of fractional processes ⋮ Pricing American options by exercise rate optimization ⋮ Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels ⋮ Mean-variance portfolio selection under Volterra Heston model ⋮ Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models ⋮ Buy rough, sell smooth ⋮ A weak solution theory for stochastic Volterra equations of convolution type ⋮ Markovian structure of the Volterra Heston model ⋮ Pricing of spread and exchange options in a rough jump-diffusion market ⋮ Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions ⋮ Time-Inconsistency with Rough Volatility ⋮ WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
- Asymptotic analysis for stochastic volatility: martingale expansion
- Fractional Brownian motion and the Markov property
- Perfect hedging in rough Heston models
- The microstructural foundations of leverage effect and rough volatility
- Detailed error analysis for a fractional Adams method
- A predictor-corrector approach for the numerical solution of fractional differential equations
- Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
- Affine Volterra processes
- Markovian structure of the Volterra Heston model
- Affine representations of fractional processes with applications in mathematical finance
- On the uniqueness of solutions of stochastic differential equations
- The stochastic Fubini theorem revisited
- Volatility is rough
- Pricing under rough volatility
- Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
- The characteristic function of rough Heston models
- Approximation of some processes
- Hybrid scheme for Brownian semistationary processes
This page was built for publication: Multifactor Approximation of Rough Volatility Models
