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From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect

Author

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  • Aditi Dandapani
  • Paul Jusselin
  • Mathieu Rosenbaum

Abstract

Building log-normal-like rough volatility models with proper Zumbach effect using a microstructural approach

Suggested Citation

  • Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum, 2021. "From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect," Quantitative Finance, Taylor & Francis Journals, vol. 21(8), pages 1235-1247, August.
    • Handle: RePEc:taf:quantf:v:21:y:2021:i:8:p:1235-1247
    DOI: 10.1080/14697688.2020.1841906
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    Citations

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    Cited by:

    1. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
    2. Enrico Dall'Acqua & Riccardo Longoni & Andrea Pallavicini, 2022. "Rough-Heston Local-Volatility Model," Papers 2206.09220, arXiv.org.
    3. Mathieu Rosenbaum & Jianfei Zhang, 2022. "On the universality of the volatility formation process: when machine learning and rough volatility agree," Papers 2206.14114, arXiv.org.
    4. Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
    5. Bruno Durin & Mathieu Rosenbaum & Gr'egoire Szymanski, 2023. "The two square root laws of market impact and the role of sophisticated market participants," Papers 2311.18283, arXiv.org.
    6. Mathieu Rosenbaum & Jianfei Zhang, 2021. "Deep calibration of the quadratic rough Heston model," Papers 2107.01611, arXiv.org, revised May 2022.
    7. Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.

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