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We consider rough stochastic volatility models where the variance process satisfies a stochastic Volterra equation with the fractional kernel, as in the rough Bergomi and the rough Heston model.
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Derrick Lehmer · 1940
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H Brass and G Hämmerlin · 1993
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“Fractional Brownian motion and the Markov property”
Philippe Carmona and Laure Coutin · 1998
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Kai Diethelm and Alan Freed · 1998
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Kai Diethelm, Neville Ford and Alan Freed · 2002
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“Detailed error analysis for a fractional Adams method”
Kai Diethelm, Neville Ford and Alan Freed · 2004
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“Smile dynamics II”
Lorenzo Bergomi · 2005
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“On the fractional Adams method”
Changpin Li and Chunxing Tao · 2009
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Helmut Brass and Knut Petras · 2011
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Nicolas Marie · 2013
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Christian Bayer, Peter Friz and Jim Gatheral · 2016
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Laurent Chevillard · 2017
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“Perfect hedging in rough Heston models”
Omar El and Mathieu Rosenbaum · 2018
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“Markovian structure of the Volterra Heston model”
Eduardo Abi and Omar El · 2019
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“Multifactor approximation of rough volatility models”
Eduardo Abi and Omar El · 2019
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“Roughening heston”
Omar El, Jim Gatheral and Mathieu Rosenbaum · 2019
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“The characteristic function of rough Heston models”
Omar El and Mathieu Rosenbaum · 2019
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“Strong convergence rates for Markovian representations of fractional Brownian motion”
Philipp Harms · 2019
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“Weak error rates for option pricing under the rough Bergomi model”
Christian Bayer, Eric Hall and Raúl Tempone · 2020
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“Volatility is rough”
Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum · 2018
Cited alongside, same era.
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“Approximation of Stochastic Volterra Equations with kernels of completely monotone type”, 2021
Aurélien Alfonsi and Ahmed Kebaier · 2021
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