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q-fin.CP2023
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…
q-fin.CP2023★ 2 cited
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…
q-fin.CP2021
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…