2 citations · 2 across the 2 of their papers we have counts for
3 papers
math.PR2024
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…
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…