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The Zumbach effect under rough Heston - MaRDI portal

The Zumbach effect under rough Heston (Q5121491)

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scientific article; zbMATH DE number 7246977
Language Label Description Also known as
English
The Zumbach effect under rough Heston
scientific article; zbMATH DE number 7246977

    Statements

    title
    The Zumbach effect under rough Heston (English)
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    author
    Omar El Euch
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    Jim Gatheral
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    Radoš Radoičić
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    Mathieu Rosenbaum
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    publication date
    14 September 2020
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    zbMATH Keywords
    Zumbach effect
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    rough Heston model
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    Identifiers

    zbMATH DE Number
    7246977
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    OpenAlex ID
    W2982605865
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    arXiv ID
    1809.02098
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    Wikidata QID
    Q126855950
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