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The characteristic function of rough Heston models

Citations

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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. 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.
  10. Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Papers 1801.10359, arXiv.org, revised Apr 2018.
  11. Christian Bayer & Peter K. Friz & Paul Gassiat & Joerg Martin & Benjamin Stemper, 2017. "A regularity structure for rough volatility," Papers 1710.07481, arXiv.org.
  12. Peter K. Friz & Paul Gassiat & Paolo Pigato, 2018. "Precise asymptotics: robust stochastic volatility models," Papers 1811.00267, arXiv.org, revised Nov 2020.
  13. Eduardo Abi Jaber & Omar El Euch, 2018. "Multi-factor approximation of rough volatility models," Working Papers hal-01697117, HAL.
  14. Peter Carr & Andrey Itkin, 2019. "ADOL - Markovian approximation of rough lognormal model," Papers 1904.09240, arXiv.org.
  15. Mesias Alfeus & Ludger Overbeck, 2018. "Regime Switching Rough Heston Model," Research Paper Series 387, Quantitative Finance Research Centre, University of Technology, Sydney.
  16. 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.
  17. Eduardo Abi Jaber, 2019. "Lifting the Heston model," Post-Print hal-01890751, HAL.
  18. Eduardo Abi Jaber & Omar El Euch, 2019. "Multi-factor approximation of rough volatility models," Post-Print hal-01697117, HAL.
  19. Paul Jusselin & Mathieu Rosenbaum, 2018. "No-arbitrage implies power-law market impact and rough volatility," Papers 1805.07134, arXiv.org.
  20. 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.
  21. Blanka Horvath & Antoine Jacquier & Aitor Muguruza & Andreas Sojmark, 2017. "Functional central limit theorems for rough volatility," Papers 1711.03078, arXiv.org, revised Nov 2023.
  22. Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2018. "Affine Rough Models," Papers 1812.08486, arXiv.org.
  23. Martin Keller-Ressel & Martin Larsson & Sergio Pulido, 2023. "Rough affine models," Post-Print hal-02265210, HAL.
  24. 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.
  25. Eduardo Abi Jaber, 2018. "Lifting the Heston model," Working Papers hal-01890751, HAL.
  26. Stefan Gerhold & Christoph Gerstenecker & Arpad Pinter, 2018. "Moment Explosions in the Rough Heston Model," Papers 1801.09458, arXiv.org, revised Apr 2018.
  27. Omar El Euch & Mathieu Rosenbaum, 2017. "Perfect hedging in rough Heston models," Papers 1703.05049, arXiv.org.
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