smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2024SMQ / 167264846980810
Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts
Kristof Wiedermann / Martin Friesen / Stefan Gerhold
rough volatility / stochastic processesResource overview

Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts

Paper2024

by Kristof Wiedermann, Martin Friesen, Stefan Gerhold

Tags
rough volatilitystochastic processes

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

Go further

  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Kristof Wiedermann, Martin Friesen, Stefan Gerhold

5