publications

Working papers, in preparation, and forthcoming work.

2026

  1. Numerical Methods for the Rough Heston Model via the Fractional Riccati Equation
    Xuran Lyu
    2026
    Working paper, in preparation
  2. Economics Research Project
    Xuran Lyu and collaborators
    2026
    In preparation
  3. Statistical Inference for Rough Volatility Using High-Frequency Option Data
    Xuran Lyu and collaborators
    2026
    In preparation
  4. Probability Project
    Xuran Lyu
    2026
    In preparation