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Search: subject:"rough Heston"
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Volatility
9
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9
Option pricing theory
8
Optionspreistheorie
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8
Rough Heston model
7
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Heston model
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Gatheral, Jim
3
Radoičić, Radoš
3
El Euch, Omar
2
Ma, Jingtang
2
Rosenbaum, Mathieu
2
Baschetti, Fabio
1
Bormetti, Giacomo
1
Chen, Dengsheng
1
Dall'acqua, Enrico
1
Fukasawa, Masaaki
1
Gerhold, Stefan
1
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1
Longoni, Riccardo
1
Lu, Zhengyang
1
Pallavicini, Andrea
1
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Quantitative finance
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Finance and stochastics
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International journal of theoretical and applied finance
1
International journal of theoretical and applied finance : IJTAF
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ECONIS (ZBW)
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1
A generalization of the rational
rough
Heston
approximation
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 329-335
Persistent link: https://www.econbiz.de/10014551997
Saved in:
2
Rough-heston
local-volatility model
Dall'acqua, Enrico
;
Longoni, Riccardo
;
Pallavicini, Andrea
- In:
International journal of theoretical and applied …
26
(
2023
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014500191
Saved in:
3
The EWMA Heston model
Parent, Léo
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
Saved in:
4
Optimal reinsurance-investment with loss aversion under
rough
Heston
model
Ma, Jingtang
;
Lu, Zhengyang
;
Chen, Dengsheng
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 95-109
Persistent link: https://www.econbiz.de/10013490957
Saved in:
5
The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio
;
Bormetti, Giacomo
;
Romagnoli, Silvia
; …
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
Saved in:
6
A fast algorithm for simulation of rough volatility models
Ma, Jingtang
;
Wu, Haofei
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
Saved in:
7
The Zumbach effect under
rough
Heston
El Euch, Omar
;
Gatheral, Jim
;
Radoičić, Radoš
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 235-241
Persistent link: https://www.econbiz.de/10012194863
Saved in:
8
Rational approximation of the
rough
Heston
solution
Gatheral, Jim
;
Radoičić, Radoš
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012019824
Saved in:
9
Moment explosions in the
rough
Heston
model
Gerhold, Stefan
;
Gerstenecker, Christoph
;
Pinter, Arpad
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 575-608
Persistent link: https://www.econbiz.de/10012127280
Saved in:
10
The microstructural foundations of leverage effect and rough volatility
El Euch, Omar
;
Fukasawa, Masaaki
;
Rosenbaum, Mathieu
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
Saved in:
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