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Approximation of Some Gaussian Processes

Author

Listed:
  • Philippe Carmona
  • Laure Coutin
  • G. Montseny

Abstract

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Suggested Citation

  • Philippe Carmona & Laure Coutin & G. Montseny, 2000. "Approximation of Some Gaussian Processes," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 161-171, January.
    • Handle: RePEc:spr:sistpr:v:3:y:2000:i:1:p:161-171
    DOI: 10.1023/A:1009999518898
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    Citations

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    Cited by:

    1. Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
    2. Harms, Philipp & Stefanovits, David, 2019. "Affine representations of fractional processes with applications in mathematical finance," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1185-1228.
    3. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
    4. Nicole Bauerle & Sascha Desmettre, 2018. "Portfolio Optimization in Fractional and Rough Heston Models," Papers 1809.10716, arXiv.org, revised May 2019.
    5. Hult, Henrik, 2003. "Approximating some Volterra type stochastic integrals with applications to parameter estimation," Stochastic Processes and their Applications, Elsevier, vol. 105(1), pages 1-32, May.
    6. Philipp Harms & David Stefanovits, 2015. "Affine representations of fractional processes with applications in mathematical finance," Papers 1510.04061, arXiv.org, revised Feb 2018.
    7. Aur'elien Alfonsi & Ahmed Kebaier, 2021. "Approximation of Stochastic Volterra Equations with kernels of completely monotone type," Papers 2102.13505, arXiv.org, revised Mar 2022.
    8. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Working Papers hal-01890751, HAL.
    9. Christian Bayer & Eric Joseph Hall & Ra'ul Tempone, 2020. "Weak error rates for option pricing under linear rough volatility," Papers 2009.01219, arXiv.org, revised Dec 2021.
    10. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Post-Print hal-02910724, HAL.
    11. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Papers 1810.04868, arXiv.org, revised Nov 2019.
    12. Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Papers 1801.10359, arXiv.org, revised Apr 2018.
    13. Etienne Chevalier & Sergio Pulido & Elizabeth Z'u~niga, 2021. "American options in the Volterra Heston model," Papers 2103.11734, arXiv.org, revised May 2022.
    14. Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
    15. F. Comte & L. Coutin & E. Renault, 2012. "Affine fractional stochastic volatility models," Annals of Finance, Springer, vol. 8(2), pages 337-378, May.
    16. Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
    17. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
    18. Benjamin James Duthie, 2019. "Portfolio optimisation under rough Heston models," Papers 1909.02972, arXiv.org.
    19. Qinwen Zhu & Gr'egoire Loeper & Wen Chen & Nicolas Langren'e, 2020. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Papers 2007.02113, arXiv.org.
    20. Qinwen Zhu & Gregoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian approximation of the rough Bergomi model for Monte Carlo option pricing," Working Papers hal-02910724, HAL.
    21. Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
    22. Eduardo Abi Jaber & Omar El Euch, 2019. "Multi-factor approximation of rough volatility models," Post-Print hal-01697117, HAL.
    23. Camilla Damian & Rudiger Frey, 2023. "Detecting Rough Volatility: A Filtering Approach," Papers 2302.12612, arXiv.org.
    24. Philipp Harms, 2019. "Strong convergence rates for Markovian representations of fractional processes," Papers 1902.01471, arXiv.org, revised Aug 2020.
    25. Qinwen Zhu & Grégoire Loeper & Wen Chen & Nicolas Langrené, 2021. "Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing," Mathematics, MDPI, vol. 9(5), pages 1-21, March.

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