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A fast algorithm for simulation of rough volatility models
15 references·0 citing·36 second hop
A fast algorithm for simulation of rough volatility models (2021)A fast algorithm for simulation of rough …The characteristic function of rough Heston models (2019)The characteristic function o…Multifactor Approximation of Rough Volatility Models (2019)Multifactor Approximation of …Lifting the Heston model (2019)Lifting the Heston modelVolatility Is Rough (2018)Volatility Is RoughThe microstructural foundations of leverage effect and rough volatility (2018)The microstructural foundatio…Perfect hedging in rough Heston models (2018)Perfect hedging in rough Hest…Asymptotic Behavior of the Fractional Heston Model (2018)Asymptotic Behavior of the Fr…Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (2016)Rough fractional diffusions a…Limit theorems for nearly unstable Hawkes processes (2015)Limit theorems for nearly uns…Limit theorems for nearly unstable Hawkes processes (2013)Limit theorems for nearly uns…Simple and efficient simulation of the Heston stochastic volatility model (2008)Simple and efficient simulati…Stochastic Calculus for Finance II (2004)Stochastic Calculus for Finan…Simulation and Identification of the Fractional Brownian Motion: A Bibliographical and Comparative Study (2000)Simulation and Identification…Simulation of Stationary Gaussian Processes in [0, 1]d (1994)Simulation of Stationary Gaus…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Digital simulation of random processes and its applications (1972)Stochastic Simulation (1987)STATISTICS FOR SPATIAL DATA (1992)Fitting Gaussian Markov Random Fields to Gaussian Fields (2001)Estimators of fractal dimension: Assessing the roughness of time series and spatial data (2010)Geostatistical Inference Under Preferential Sampling (2010)Fractional Brownian Motions, Fractional Noises and Applications (1968)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Statistics for Long-Memory Processes. (1996)Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion (2007)Commodity predictability analysis with a permutation information theory approach (2010)Multifractal Detrended Fluctuation Analysis of Human EEG: Preliminary Investigation and Comparison with the Wavelet Transform Modulus Maxima Technique (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Continuous Martingales and Brownian Motion (1999)Volatility has to be rough (2020)Estimating Spot Volatility with High-Frequency Financial Data (2022)Option valuation using the fast Fourier transform (1999)Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)Modeling and Forecasting Realized Volatility (2003)Pricing under rough volatility (2015)On the uniqueness of solutions of stochastic differential equations (1971)Volatility Is (Mostly) Path-Dependent (2022)The variation of certain speculative prices (1997)A regularity structure for rough volatility (2019)High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)On the Heston Model with Stochastic Interest Rates (2011)Realized Skewness (2012)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Numerical Solution of Stochastic Differential Equations (2016)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2018Volatility Is Rough793 cited
  • 2004Stochastic Calculus for Finance II748 cited
  • 1994Simulation of Stationary Gaussian Processes in [0, 1]d394 cited
  • 2019The characteristic function of rough Heston models305 cited
  • 2008Simple and efficient simulation of the Heston stochastic volatility model266 cited
  • 2000Simulation and Identification of the Fractional Brownian Motion: A Bibliographical and Comparative Study168 cited
  • 2018The microstructural foundations of leverage effect and rough volatility154 cited
  • 2019Multifactor Approximation of Rough Volatility Models139 cited
  • 2018Perfect hedging in rough Heston models138 cited
  • 2016Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes136 cited
  • 2015Limit theorems for nearly unstable Hawkes processes127 cited
  • 2013Limit theorems for nearly unstable Hawkes processes121 cited
  • 2019Lifting the Heston model86 cited
  • 2018Asymptotic Behavior of the Fractional Heston Model63 cited

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