The rough Hawkes Heston stochastic volatility model (Q6641084)
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scientific article; zbMATH DE number 7947061
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The rough Hawkes Heston stochastic volatility model |
scientific article; zbMATH DE number 7947061 |
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The rough Hawkes Heston stochastic volatility model (English)
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20 November 2024
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affine Volterra processes
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Hawkes processes
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jump clusters
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joint calibration of S\&P 500 and VIX smiles
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leverage effect
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rough volatility
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stochastic volatility
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VIX
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