The characteristic function of rough Heston models (Q5743116): Difference between revisions
From MaRDI portal
Set profile property. |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 04:59, 7 March 2024
scientific article; zbMATH DE number 7052620
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The characteristic function of rough Heston models |
scientific article; zbMATH DE number 7052620 |
Statements
The characteristic function of rough Heston models (English)
0 references
8 May 2019
0 references
fractional Brownian motion
0 references
fractional Riccati equation
0 references
Hawkes processes
0 references
limit theorems
0 references
rough Heston models
0 references
rough volatility models
0 references
