The characteristic function of rough Heston models (Q5743116)
From MaRDI portal
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
