Reconciling rough volatility with jumps

DOI10.1137/23M1558847MaRDI QIDQ6623042zbMATH OpenFDO

Authors Eduardo Abi Jaber, Nathan De Carvalho

Publication date 23 October 2024

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M1558847

zbMATH Keywords

Heston modelnormal inverse GaussianRiccati equationsrough Heston modelstochastic volatility

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Jump processes on discrete state spaces (60J74) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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Cited in

(5)

• A mutually exciting rough jump-diffusion for financial modelling
• The rough Hawkes Heston stochastic volatility model
• Volatility models in practice: rough, path-dependent, or Markovian?
• Joint SPX \& VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
• From hyper roughness to jumps as H - 1/2

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