A generalization of the rational rough Heston approximation

DOI10.1080/14697688.2024.2302055zbMATH Open1537.91364WikidataQ129619923 ScholiaQ129619923MaRDI QIDQ6546320FDOQ6546320

Authors Jim Gatheral, Radoš Radoičić 

Publication date 29 May 2024

Published in Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Financial applications of other theories (91G80)

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Cites Work

• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• Affine forward variance models
• Rational approximation of the rough Heston solution
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Small‐time, large‐time, and asymptotics for the Rough Heston model
• The SINC way: a fast and accurate approach to Fourier pricing
• The characteristic function of rough Heston models

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