2 citations · 2 across the 5 of their papers we have counts for
6 papers
State spaces of multifactor approximations of nonnegative Volterra processes
Eduardo Abi Jaber, Christian Bayer, Simon Breneis
We show that the state spaces of multifactor Markovian processes, coming from approximations of nonnegative Volterra processes, are given by explicit linear transformation of the n…
Efficient option pricing in the rough Heston model using weak simulation schemes
Christian Bayer, Simon Breneis
We provide an efficient and accurate simulation scheme for the rough Heston model in the standard () as well as the hyper-rough regime (). The scheme is based on low…
Weak Markovian Approximations of Rough Heston
Christian Bayer, Simon Breneis
The rough Heston model is a very popular recent model in mathematical finance; however, the lack of Markov and semimartingale properties poses significant challenges in both theory…
An Adaptive Algorithm for Rough Differential Equations
Christian Bayer, Simon Breneis, Terry Lyons
We present an adaptive algorithm for effectively solving rough differential equations (RDEs) using the log-ODE method. The algorithm is based on an error representation formula tha…
Markovian approximations of stochastic Volterra equations with the fractional kernel
Christian Bayer, Simon Breneis
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…
On variation functions and their moduli of continuity
Simon Breneis
We study the moduli of continuity of functions of bounded variation and of their variation functions. It is easy to see that the modulus of continuity of a function of bounded vari…