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From elephant to goldfish (and back): memory in stochastic Volterra processes
The numerical scheme exhibits a strong convergence rate of 1/2, which is independent of the roughness parameter of the volatility process.
Functional quantization of rough volatility and applications to volatility derivatives
We develop a product functional quantization of rough volatility.
Quantization goes Polynomial
Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation.
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