The EWMA Heston model

DOI10.1080/14697688.2022.2140699zbMath1518.91264OpenAlexW4308841973MaRDI QIDQ6101022

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Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2140699

zbMATH Keywords

Heston modelstochastic volatility modeltime-reversal asymmetryZumbach effectquadratic rough Heston modelreturns distributionvolatility distribution

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial markets (91G15)

Related Items (1)

Volatility is (mostly) path-dependent

Cites Work

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• Perfect hedging in rough Heston models
• Continuous Markov processes and stochastic equations
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• Volatility is rough
• Quadratic Hawkes processes for financial prices
• Empirical properties of asset returns: stylized facts and statistical issues
• Lifting the Heston model
• A comparison of biased simulation schemes for stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Optimal approximations of power laws with exponentials: application to volatility models with long memory
• Non‐linear GARCH models for highly persistent volatility
• The characteristic function of rough Heston models
• Heterogeneous volatility cascade in financial markets

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