The characteristic function of rough Heston models

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

Mathieu Rosenbaum, Omar El Euch

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 motion; limit theorems; Hawkes processes; fractional Riccati equation; rough volatility models; rough Heston models

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

91B70: Stochastic models in economics

91G20: Derivative securities (option pricing, hedging, etc.)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

Uses Software

• FracPECE