Record link: 
http://hdl.handle.net/20.500.12708/220044
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Title: 
Small-Time Central Limit Theorems for Stochastic Volterra Integral Equations and Their Implications on Volatility Derivatives
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Citation: 
Wiedermann, K., Friesen, M., & Gerhold, S. (2025). Small-Time Central Limit Theorems for Stochastic Volterra Integral Equations and Their  Implications on Volatility Derivatives. In SIAM Conference on Financial Mathematics and Engineering (FM25) : July 15–18, 2025 : Hyatt Regency Miami, Miami, FL U.S. SIAM Conference on Financial Mathematics  and Engineering 2025 (FM 2025), Miami, United States of America (the).
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Publication Type: 
Inproceedings - Abstract Book Contribution
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Language: 
English
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Authors: 
Wiedermann, Kristof 
Friesen, Martin 
Gerhold, Stefan 
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Organisational Unit: 
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik 
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Published in: 
SIAM Conference on Financial Mathematics and Engineering (FM25) : July 15–18, 2025 : Hyatt Regency Miami, Miami, FL U.S. 
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Date (published): 
2025
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Event name: 
SIAM Conference on Financial Mathematics and Engineering 2025 (FM 2025) 
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Event date: 
15-Jul-2025 - 18-Jul-2025
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Event place: 
Miami, United States of America (the)
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Number of Pages: 
1
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Keywords: 
Stochastic Volterra integral equation; central limit theorem; Markov process; rough volatility
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Research Areas: 
Mathematical Methods in Economics: 10%
Fundamental Mathematics Research: 90%
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Science Branch: 
1020 - Informatik: 10%
5020 - Wirtschaftswissenschaften: 20%
1010 - Mathematik: 70%
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Appears in Collections:
Conference Paper

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