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Lifting the Heston model - MaRDI portal

Lifting the Heston model (Q5120731)

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scientific article; zbMATH DE number 7247988
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English
Lifting the Heston model
scientific article; zbMATH DE number 7247988

    Statements

    title
    Lifting the Heston model (English)
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    author
    Eduardo Abi Jaber
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    publication date
    16 September 2020
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    zbMATH Keywords
    stochastic volatility
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    implied volatility
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    affine Volterra processes
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    Riccati equations
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    rough volatility
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    cites work
    Volatility is rough
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    Q4692887
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    Q4002473
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    Identifiers

    zbMATH DE Number
    7247988
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    OpenAlex ID
    W2962802749
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    arXiv ID
    1810.04868
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    Wikidata QID
    Q127543527
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