From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Year of publication: |
2021
|
---|---|
Authors: | Dandapani, Aditi ; Jusselin, Paul ; Rosenbaum, Mathieu |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 8, p. 1235-1247
|
Subject: | Theorie | Theory | Volatilität | Volatility | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process |
-
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan, (2018)
-
Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric, (2013)
-
Stochastic volatility with an Ornstein-Uhlenbeck process : an extension
Schöbel, Rainer, (1998)
- More ...
-
No‐arbitrage implies power‐law market impact and rough volatility
Jusselin, Paul, (2020)
-
The Quadratic Rough Heston Model and the Joint S&P 500/VIX Smile Calibration Problem
Gatheral, Jim, (2020)
-
Optimal Auction Duration : A Price Formation Viewpoint
Jusselin, Paul, (2019)
- More ...