121 citations · 301 across the 31 of their papers we have counts for
3 papers · 1 filter
On the discrete-time simulation of the rough Heston model
Alexandre Richard, Xiaolu Tan, Fan Yang
We study Euler-type discrete-time schemes for the rough Heston model, which can be described by a stochastic Volterra equation (with non-Lipschtiz coefficient functions), or by an…
Discrete-time Simulation of Stochastic Volterra Equations
Alexandre Richard, Xiaolu Tan, Fan Yang
We study discrete-time simulation schemes for stochastic Volterra equations, namely the Euler and Milstein schemes, and the corresponding Multi-Level Monte-Carlo method. By using a…
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Bruno Bouchard, Xiaolu Tan, Xavier Warin +1
We propose a new numerical scheme for Backward Stochastic Differential Equations based on branching processes. We approximate an arbitrary (Lipschitz) driver by local polynomials a…