Perfect hedging in rough Heston models

DOI10.1214/18-AAP1408zbMath1418.91467arXiv1703.05049WikidataQ129161330 ScholiaQ129161330MaRDI QIDQ1634189

Mathieu Rosenbaum, Omar El Euch

Publication date: 17 December 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.05049

zbMATH Keywords

fractional Brownian motionlimit theoremsHawkes processesforward variance curvefractional Riccati equationsrough Heston modelrough volatility

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Continuous-time Markov processes on general state spaces (60J25) Stochastic models in economics (91B70) Portfolio theory (91G10)

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