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math.NA2021
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…
math.NA2020★ 2 cited
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…