The characteristic function of rough Heston models

DOI10.1111/mafi.12173zbMath1411.91553arXiv1609.02108OpenAlexW2963562494MaRDI QIDQ5743116

Omar El Euch, Mathieu Rosenbaum

Publication date: 8 May 2019

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

Full work available at URL: https://arxiv.org/abs/1609.02108

zbMATH Keywords

fractional Brownian motionlimit theoremsHawkes processesfractional Riccati equationrough volatility modelsrough Heston models

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Uses Software

• FracPECE

Cites Work

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