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q-fin.PR2018
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
Mesias Alfeus, Martino Grasselli, Erik Schlögl
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework fo…
q-fin.MF2018
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)
Callegaro Giorgia, Grasselli Martino, Pagès Gilles
We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatilit…