Markovian approximations of stochastic Volterra equations with the fractional kernel
Year of publication: |
2023
|
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Authors: | Bayer, Christian ; Breneis, Simon |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 1, p. 53-70
|
Subject: | Fractional kernel | Markovian approximation | Rough volatility model | Stochastic Volterra equation | Strong error | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Markov-Kette | Markov chain | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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