2 citations · 2 across the 3 of their papers we have counts for
3 papers
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…
math.NA2023
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…