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I found this paper here https://arxiv.org/abs/1810.04868, "The Lifted Heston", but since I'm not an expert in stochastic volterra processes , nor in fractional ricatti equations, the math is beyond me. If anyone could explain to me step-by-step the process to simulate paths described in the paper (I know it's an approximation), or better yet, share a repo, I would greatly appreciate it.

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Isn't this model just a bunch of classical Heston volatility processes, driven by the same Brownian motion? In this case, you can use some common schemes like Milstein. At least as a starter to toy with the model. If speed/accuracy is an issue, there probably exist some clever solutions as well.

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  • $\begingroup$ So I know how to simulate a classical heston. And yes, my understanding is that you are right that the above paper just uses many classical hestons to approximate the rough heston. My question then is how do I figure out what set of classical hestons to simulate? $\endgroup$ – Pedro Mejor Aug 13 at 1:05

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