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20242026
most citedInterlacing Eigenvectors of Large Gaussian Matrices

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q-fin.MF2025

Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian

Eduardo Abi Jaber, Elie Attal

We introduce a novel simulation scheme, iVi (integrated Volterra implicit), for integrated Volterra square-root processes and Volterra Heston models based on the Inverse Gaussian d…