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)

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Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
• Rational approximation of the rough Heston solution
• The characteristic function of rough Heston models
• Small‐time, large‐time, and asymptotics for the Rough Heston model
• Affine forward variance models
• The SINC way: a fast and accurate approach to Fourier pricing

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