Matches in SemOpenAlex for { <https://semopenalex.org/work/W3109429596> ?p ?o ?g. }
Showing items 1 to 84 of
84
with 100 items per page.
- W3109429596 abstract "We propose a hybrid scheme for the simulation of stochastic Volterra equations. The scheme is a mix of the hybrid scheme for Brownian semistationary processes of Bennedsen et al. [Financ. Stoch., 21(4), 931-965, 2017] and then the multifactor approximations of Abi Jaber et al. [SIAM J. Finan. Math., 10(2), 309-349, 2019]. Merging the schemes allow us to both accurately capture any singularities and efficiently track the inherent path-dependence. For equations with deterministic drift conditional expectations are easily computable under the scheme and we show how this can be used to simulate the VIX index for several important volatility models of the Volterra type. Numerical experiments indicate good convergence for rough Bergomi type models as well as for the quadratic rough Heston model. Experiments on the (ordinary) rough Heston model, where values are non-negative and thus need to be truncated, in some cases, resulted in a significant positive bias." @default.
- W3109429596 created "2020-12-07" @default.
- W3109429596 creator A5070795860 @default.
- W3109429596 date "2020-01-01" @default.
- W3109429596 modified "2023-09-27" @default.
- W3109429596 title "The Hybrid-Exponential Scheme for Stochastic Volterra Equations" @default.
- W3109429596 cites W1503185336 @default.
- W3109429596 cites W1972729931 @default.
- W3109429596 cites W1978200689 @default.
- W3109429596 cites W1990932185 @default.
- W3109429596 cites W2044718944 @default.
- W3109429596 cites W2114990297 @default.
- W3109429596 cites W2365574823 @default.
- W3109429596 cites W2480854438 @default.
- W3109429596 cites W2576267689 @default.
- W3109429596 cites W2595720639 @default.
- W3109429596 cites W2962747399 @default.
- W3109429596 cites W2962802749 @default.
- W3109429596 cites W2963562494 @default.
- W3109429596 cites W2963618697 @default.
- W3109429596 cites W2980737890 @default.
- W3109429596 cites W3019596641 @default.
- W3109429596 cites W3123725596 @default.
- W3109429596 cites W3124440906 @default.
- W3109429596 cites W3124875579 @default.
- W3109429596 cites W3125017247 @default.
- W3109429596 cites W3126083004 @default.
- W3109429596 cites W3126426237 @default.
- W3109429596 cites W3190225062 @default.
- W3109429596 cites W391578156 @default.
- W3109429596 cites W4213329537 @default.
- W3109429596 cites W4255072566 @default.
- W3109429596 cites W4300033818 @default.
- W3109429596 doi "https://doi.org/10.2139/ssrn.3706253" @default.
- W3109429596 hasPublicationYear "2020" @default.
- W3109429596 type Work @default.
- W3109429596 sameAs 3109429596 @default.
- W3109429596 citedByCount "1" @default.
- W3109429596 countsByYear W31094295962021 @default.
- W3109429596 crossrefType "journal-article" @default.
- W3109429596 hasAuthorship W3109429596A5070795860 @default.
- W3109429596 hasConcept C121332964 @default.
- W3109429596 hasConcept C134306372 @default.
- W3109429596 hasConcept C151376022 @default.
- W3109429596 hasConcept C154945302 @default.
- W3109429596 hasConcept C158622935 @default.
- W3109429596 hasConcept C2775924081 @default.
- W3109429596 hasConcept C28826006 @default.
- W3109429596 hasConcept C2983756050 @default.
- W3109429596 hasConcept C33923547 @default.
- W3109429596 hasConcept C41008148 @default.
- W3109429596 hasConcept C47446073 @default.
- W3109429596 hasConcept C62520636 @default.
- W3109429596 hasConcept C77618280 @default.
- W3109429596 hasConceptScore W3109429596C121332964 @default.
- W3109429596 hasConceptScore W3109429596C134306372 @default.
- W3109429596 hasConceptScore W3109429596C151376022 @default.
- W3109429596 hasConceptScore W3109429596C154945302 @default.
- W3109429596 hasConceptScore W3109429596C158622935 @default.
- W3109429596 hasConceptScore W3109429596C2775924081 @default.
- W3109429596 hasConceptScore W3109429596C28826006 @default.
- W3109429596 hasConceptScore W3109429596C2983756050 @default.
- W3109429596 hasConceptScore W3109429596C33923547 @default.
- W3109429596 hasConceptScore W3109429596C41008148 @default.
- W3109429596 hasConceptScore W3109429596C47446073 @default.
- W3109429596 hasConceptScore W3109429596C62520636 @default.
- W3109429596 hasConceptScore W3109429596C77618280 @default.
- W3109429596 hasLocation W31094295961 @default.
- W3109429596 hasOpenAccess W3109429596 @default.
- W3109429596 hasPrimaryLocation W31094295961 @default.
- W3109429596 hasRelatedWork W1521353230 @default.
- W3109429596 hasRelatedWork W1596397513 @default.
- W3109429596 hasRelatedWork W1983893590 @default.
- W3109429596 hasRelatedWork W2002200798 @default.
- W3109429596 hasRelatedWork W2086298263 @default.
- W3109429596 hasRelatedWork W2323618188 @default.
- W3109429596 hasRelatedWork W2373250155 @default.
- W3109429596 hasRelatedWork W3018461255 @default.
- W3109429596 hasRelatedWork W3159776375 @default.
- W3109429596 hasRelatedWork W4280566261 @default.
- W3109429596 isParatext "false" @default.
- W3109429596 isRetracted "false" @default.
- W3109429596 magId "3109429596" @default.
- W3109429596 workType "article" @default.