Multi-factor approximation of rough volatility models
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References listed on IDEAS
- Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
- El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
- Omar El Euch & Mathieu Rosenbaum, 2017. "Perfect hedging in rough Heston models," Papers 1703.05049, arXiv.org.
- Christian Bayer & Peter Friz & Jim Gatheral, 2016. "Pricing under rough volatility," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 887-904, June.
- Masaaki Fukasawa, 2011. "Asymptotic analysis for stochastic volatility: martingale expansion," Finance and Stochastics, Springer, vol. 15(4), pages 635-654, December.
- Philippe Carmona & Laure Coutin & G. Montseny, 2000. "Approximation of Some Gaussian Processes," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 161-171, January.
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- Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum, 2019. "From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect," Papers 1907.06151, arXiv.org.
More about this item
Keywordslimit theorems; affine Volterra processes; Rough volatility models; rough Heston models; stochastic Volterra equations; fractional Riccati equations;
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