No‐arbitrage implies power‐law market impact and rough volatility
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Publication:5855958
DOI10.1111/mafi.12254OpenAlexW3013767885MaRDI QIDQ5855958
Mathieu Rosenbaum, Paul Jusselin
Publication date: 23 March 2021
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1805.07134
Hawkes processesmarket impactrough Heston modelrough volatilityno-arbitrage propertyhyper-rough Heston model
Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Financial markets (91G15)
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