Multi-factor approximation of rough volatility models

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Date
2019Dewey
Probabilités et mathématiques appliquéesSujet
limit theorems; affine Volterra processes; Rough volatility models; rough Heston models; stochastic Volterra equations; fractional Riccati equationsJournal issue
SIAM Journal on Financial MathematicsVolume
10Number
2Publication date
2019Article pages
309–349Publisher
SIAM - Society for Industrial and Applied MathematicsCollections
Metadata
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Abi jaber, Eduardo
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
El Euch, Omar
141112 École Polytechnique