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Multifactor Approximation of Rough Volatility Models

SIAM Journal on Financial Mathematics - United States
doi 10.1137/18m1170236
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Abstract

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Categories
Applied MathematicsNumerical AnalysisFinance
Date

January 1, 2019

Authors
Eduardo Abi JaberOmar El Euch
Publisher

Society for Industrial & Applied Mathematics (SIAM)


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