The characteristic function of rough Heston models (Q5743116)
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scientific article; zbMATH DE number 7052620
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The characteristic function of rough Heston models |
scientific article; zbMATH DE number 7052620 |
Statements
The characteristic function of rough Heston models (English)
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8 May 2019
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fractional Brownian motion
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fractional Riccati equation
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Hawkes processes
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limit theorems
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rough Heston models
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rough volatility models
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