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The characteristic function of rough Heston models - MaRDI portal

The characteristic function of rough Heston models (Q5743116)

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scientific article; zbMATH DE number 7052620
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English
The characteristic function of rough Heston models
scientific article; zbMATH DE number 7052620

    Statements

    title
    The characteristic function of rough Heston models (English)
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    DOI
    10.1111/mafi.12173
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    author
    Omar El Euch
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    Mathieu Rosenbaum
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    publication date
    8 May 2019
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    Mathematics Subject Classification ID
    91G20
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    60G22
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    60G55
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    91B70
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    zbMATH DE Number
    7052620
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    zbMATH Keywords
    fractional Brownian motion
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    fractional Riccati equation
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    Hawkes processes
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    limit theorems
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    rough Heston models
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    rough volatility models
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    OpenAlex ID
    W2963562494
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    arXiv ID
    1609.02108
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    cites work
    Volatility is rough
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    Q3774629
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    Q4367302
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    Q4226355
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    Q3141895
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