IDEAS home Printed from https://ideas.repec.org/r/arx/papers/1609.02108.html
   My bibliography  Save this item

The characteristic function of rough Heston models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Andrey Itkin, 2023. "The ATM implied skew in the ADO-Heston model," Papers 2309.15044, arXiv.org.
  2. Oliver Pfante & Nils Bertschinger, 2016. "Uncertainty Estimates in the Heston Model via Fisher Information," Papers 1610.04760, arXiv.org, revised Oct 2016.
  3. Jiro Akahori & Xiaoming Song & Tai-Ho Wang, 2022. "Probability Density of Lognormal Fractional SABR Model," Risks, MDPI, vol. 10(8), pages 1-27, August.
  4. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Papers 1810.04868, arXiv.org, revised Nov 2019.
  5. repec:hal:wpaper:hal-02265210 is not listed on IDEAS
  6. Xuefeng Gao & Xiang Zhou & Lingjiong Zhu, 2017. "Transform Analysis for Hawkes Processes with Applications in Dark Pool Trading," Papers 1710.01452, arXiv.org.
  7. Eyal Neuman & Mathieu Rosenbaum, 2017. "Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint," Papers 1711.00427, arXiv.org, revised May 2018.
  8. Jim Gatheral & Martin Keller-Ressel, 2018. "Affine forward variance models," Papers 1801.06416, arXiv.org, revised Oct 2018.
  9. Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
  10. Eduardo Abi Jaber & Omar El Euch, 2019. "Multi-factor approximation of rough volatility models," Post-Print hal-01697117, HAL.
  11. Paul Jusselin & Mathieu Rosenbaum, 2018. "No-arbitrage implies power-law market impact and rough volatility," Papers 1805.07134, arXiv.org.
  12. Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi, 2017. "Duality for pathwise superhedging in continuous time," Papers 1705.02933, arXiv.org, revised Apr 2019.
  13. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2023.
  14. Mesias Alfeus & Ludger Overbeck & Erik Schlögl, 2019. "Regime switching rough Heston model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(5), pages 538-552, May.
  15. Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Papers 1801.10359, arXiv.org, revised Apr 2018.
  16. Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper, 2017. "A regularity structure for rough volatility," Papers 1710.07481, arXiv.org.
  17. Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2018. "Affine Rough Models," Papers 1812.08486, arXiv.org.
  18. Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2023. "Rough affine models," Post-Print hal-02265210, HAL.
  19. Christian Bayer & Peter K. Friz & Archil Gulisashvili & Blanka Horvath & Benjamin Stemper, 2017. "Short-time near-the-money skew in rough fractional volatility models," Papers 1703.05132, arXiv.org, revised Mar 2018.
  20. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Working Papers hal-01890751, HAL.
  21. Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter, 2018. "Moment Explosions in the Rough Heston Model," Papers 1801.09458, arXiv.org, revised Apr 2018.
  22. Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum, 2018. "Rough volatility: Evidence from option prices," IISE Transactions, Taylor & Francis Journals, vol. 50(9), pages 767-776, September.
  23. Peter K. Friz & Paul Gassiat & Paolo Pigato, 2018. "Precise asymptotics: robust stochastic volatility models," Papers 1811.00267, arXiv.org, revised Nov 2020.
  24. Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
  25. Peter Carr & Andrey Itkin, 2019. "ADOL - Markovian approximation of rough lognormal model," Papers 1904.09240, arXiv.org.
  26. Mesias Alfeus & Ludger Overbeck, 2018. "Regime Switching Rough Heston Model," Research Paper Series 387, Quantitative Finance Research Centre, University of Technology, Sydney.
  27. Omar El Euch & Mathieu Rosenbaum, 2017. "Perfect hedging in rough Heston models," Papers 1703.05049, arXiv.org.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.