Cubature Method for Stochastic Volterra Integral Equations

WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY

(2023) CHRISTIAN BAYER et al.   International Journal of Theoretical and Applied Finance

Weak Error Rates of Numerical Schemes for Rough Volatility

(2023) Paul Gassiat   SIAM Journal on Financial Mathematics

On the Discrete-Time Simulation of the Rough Heston Model

(2023) Alexandre Richard et al.   SIAM Journal on Financial Mathematics

Volterra equations driven by rough signals 2: Higher-order expansions

(2022) Fabian A. Harang et al.   Stochastics and Dynamics

Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models

(2022) Christian Bayer et al.   SIAM Journal on Financial Mathematics

Error distribution of the Euler approximation scheme for stochastic Volterra equations

(2022) David Nualart et al.   JOURNAL OF THEORETICAL PROBABILITY

Markovian approximations of stochastic Volterra equations with the fractional kernel

(2022) Christian Bayer et al.   QUANTITATIVE FINANCE

Numerical methods for stochastic Volterra integral equations with weakly singular kernels

(2021) Min Li et al.   IMA JOURNAL OF NUMERICAL ANALYSIS

Mixtures of higher-order fractional Brownian motions

(2021) Mohamed El Omari   COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

Volterra equations driven by rough signals

(2021) Fabian A. Harang et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Discrete-time simulation of Stochastic Volterra equations

(2021) Alexandre Richard et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

A martingale approach for fractional Brownian motions and related path dependent PDEs

(2020) Frederi Viens et al.   ANNALS OF APPLIED PROBABILITY

On the signature and cubature of the fractional Brownian motion for H>12

(2019) Riccardo Passeggeri   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Markov cubature rules for polynomial processes

(2019) Damir Filipović et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

A Novel Signal Modeling Approach for Classification of Seizure and Seizure-Free EEG Signals

(2018) Anubha Gupta et al.   IEEE TRANSACTIONS ON NEURAL SYSTEMS AND REHABILITATION ENGINEERING

Volatility is rough

(2018) Jim Gatheral et al.   QUANTITATIVE FINANCE

Cubature on Wiener space for McKean–Vlasov SDEs with smooth scalar interaction

(2018) Dan Crisan et al.   ANNALS OF APPLIED PROBABILITY

Linear quadratic control problems of stochastic Volterra integral equations

(2017) Tianxiao Wang   ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS

Linear quadratic control problems of stochastic Volterra integral equations

(2017) Tianxiao Wang   ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS

A cubature based algorithm to solve decoupled McKean–Vlasov forward–backward stochastic differential equations

(2015) P.E. Chaudru de Raynal et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Second order discretization of backward SDEs and simulation with the cubature method

(2014) Dan Crisan et al.   ANNALS OF APPLIED PROBABILITY

High order recombination and an application to cubature on Wiener space

(2012) C. Litterer et al.   ANNALS OF APPLIED PROBABILITY

Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

(2012) D. Crisan et al.   SIAM Journal on Financial Mathematics

Improved rectangular method on stochastic Volterra equations

(2010) C.H. Wen et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Euler schemes and large deviations for stochastic Volterra equations with singular kernels

(2008) Xicheng Zhang   JOURNAL OF DIFFERENTIAL EQUATIONS