The rough Hawkes Heston stochastic volatility model

DOI10.1111/mafi.12432MaRDI QIDQ6641084

Alessandro Bondi, Simone Scotti, Sergio Pulido

Publication date: 20 November 2024

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

zbMATH Keywords

stochastic volatilityleverage effectHawkes processesVIXrough volatilityaffine Volterra processesjump clustersjoint calibration of S\&P 500 and VIX smiles

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on discrete state spaces (60J74)

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