The Berlin Mathematics Research Center MATH+
Published December 3, 2022 | Version v1
Software Open

Simulation of Error Bounds

Creators

  • 1. ROR icon Technische Universität Berlin
  • 2. ROR icon Weierstrass Institute for Applied Analysis and Stochastics
  • 3. ROR icon University of Nottingham

Description

Companion code for article "Weak error estimates for rough volatility models".

The first author acknowledges support from the German science foundation (DFG) via
the cluster of excellence MATH+, as PI of project AA4-2. The second author was supported by MATH+ project
AA4-2, while this project was initiated, and then by the US Office of Naval Research under the Vannevar Bush
Faculty 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).

Files

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Additional details

Related works

Is supplement to
Preprint: arXiv:2212.01591 (arXiv)

Funding

Deutsche Forschungsgemeinschaft
IRTG2544 ”Stochastic Analysis in Interaction” 410208580

Dates

Issued
2022-12-01
Version for arXiv preprint

Software

Programming language
R
Development Status
Inactive