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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš - In: Quantitative finance 20 (2020) 1, pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
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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
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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