Efficient simulation of affine forward variance models

Jim Gatheral
25 Jan 2022

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Jim Gatheral proposes efficient and easy-to-implement Riemann sum and hybrid quadratic exponential schemes for the simulation of rough affine forward variance models

The class of affine forward variance (AFV) models introduced in Gatheral & Keller-Ressel (2019) includes the celebrated classical Heston model and the rough Heston model of El Euch & M Rosenbaum (2019) as special cases. Affine models are popular in practice because their characteristic functions can

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