The characteristic function of rough Heston models
Author:
Affiliation:
1. École Polytechnique; CMAP; Palaiseau France
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12173/fullpdf
Reference44 articles.
1. The little Heston trap;Albrecher;Wilmott Magazine,2007
2. Modelling microstructure noise with mutually exciting point processes;Bacry;Quantitative Finance,2013
3. Some limit theorems for Hawkes processes and application to financial statistics;Bacry;Stochastic Processes and Their Applications,2013
4. Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling;Bacry;Quantitative Finance,2016
5. Pricing under rough volatility;Bayer;Quantitative Finance,2016
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