Record link: 
http://hdl.handle.net/20.500.12708/191224
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Title: 
Rough Heston
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Citation: 
Gerhold, S., Jacquier, A., & Rosenbaum, M. (2023). Rough Heston. In C. Bayer, P. K. Friz, M. Fukasawa, J. Gatheral, A. Jacquier, & M. Rosenbaum (Eds.), Rough volatility (pp. 83–101). SIAM. https://doi.org/10.1137/1.9781611977783.ch4
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Publisher DOI: 
10.1137/1.9781611977783.ch4
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Publication Type: 
Book Contribution - Edited Volume Contribution
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Language: 
English
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Authors: 
Gerhold, Stefan 
Jacquier, Antoine 
Rosenbaum, Mathieu 
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Organisational Unit: 
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik 
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Published in: 
Rough volatility 
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ISBN: 
978-1-61197-777-6
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DOI of the book: 
10.1137/1.9781611977783
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Date (published): 
2023
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Number of Pages: 
19
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Publisher: 
SIAM, Philadelphia
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Keywords: 
rough volatility; Heston model; option pricing
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Research Areas: 
Mathematical Methods in Economics: 80%
Mathematical and Algorithmic Foundations: 20%
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Science Branch: 
5020 - Wirtschaftswissenschaften: 30%
1010 - Mathematik: 70%
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Appears in Collections:
Book Contribution

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