Perfect hedging in rough Heston models (Q1634189)

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scientific article
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Perfect hedging in rough Heston models
scientific article

    Statements

    title
    Perfect hedging in rough Heston models (English)
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    author
    Omar El Euch
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    Mathieu Rosenbaum
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    publication date
    17 December 2018
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    zbMATH Keywords
    rough volatility
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    rough Heston model
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    Hawkes processes
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    fractional Brownian motion
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    fractional Riccati equations
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    limit theorems
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    forward variance curve
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    Identifiers

    DOI
    10.1214/18-AAP1408
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    Mathematics Subject Classification ID
    91G10
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    60G22
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    91B70
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    60J25
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    zbMATH DE Number
    6994407
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    arXiv ID
    1703.05049
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    Wikidata QID
    Q129161330
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