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20152026
most citedSimulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations

5 citations · 5 across the 5 of their papers we have counts for

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math.PR2022

Robustness of Hilbert space-valued stochastic volatility models

Fred Espen Benth, Heidar Eyjolfsson

In this paper we show that Hilbert space-valued stochastic models are robust with respect to perturbation, due to measurement or approximation errors, in the underlying volatility…