Work

Simulation of Error Bounds

Year: 2022

Type: preprint

Abstract: Companion code for article "Weak error estimates for rough volatility models". The first author acknowledges support from the German science foundation (DFG) viathe cluster of excellence MATH+, as PI of project AA4-2. The second author was supported by MATH+ projectAA4-2, while this project was initiated, and then by the US Office of Naval Research under the Vannevar BushFaculty Fellowship N0014-21-1-2887. The third author was supported by the German science foundation (DFG)via MATH+, as PhD student in the Berlin Mathematical School (BMS).

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.2212.01591

Authors: Friz, Peter K., Salkeld, William, Wagenhofer, Thomas

Institutions: Weierstrass Institute for Applied Analysis and Stochastics, Technische Universität Berlin, University of Nottingham

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Deutsche Forschungsgemeinschaft, Technische Universität Berlin, Berlin Mathematics Research Center MATH+, Office of Naval Research

Awards: G1372115314, G1624626908, G1875930355, G2033548659, G3460278262, G5853193109, G60923575, G743358325, G7650316851, GRK 2544: Stochastische Analysis in Interaktion, EXC 2046: MATH+: Berlin Mathematics Research Center, G8964763783

OpenAlex ID: W4310823271

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Cited by: 1

Related to: 10