<div class="csl-bib-body">
<div class="csl-entry">Gerhold, S., Jacquier, A., & Rosenbaum, M. (2023). Rough Heston. In C. Bayer, P. K. Friz, M. Fukasawa, J. Gatheral, A. Jacquier, & M. Rosenbaum (Eds.), <i>Rough volatility</i> (pp. 83–101). SIAM. https://doi.org/10.1137/1.9781611977783.ch4</div>
</div>
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/191224
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dc.language.iso
en
-
dc.subject
rough volatility
en
dc.subject
Heston model
en
dc.subject
option pricing
en
dc.title
Rough Heston
en
dc.type
Book Contribution
en
dc.type
Buchbeitrag
de
dc.contributor.affiliation
Imperial College London, United Kingdom
-
dc.contributor.affiliation
Ecole Polytechnique, France
-
dc.contributor.editoraffiliation
WIAS Berlin, Germany
-
dc.contributor.editoraffiliation
TU Berlin, Germany
-
dc.contributor.editoraffiliation
Osaka University, Japan
-
dc.contributor.editoraffiliation
Imperial College London, United Kingdom
-
dc.contributor.editoraffiliation
Ecole Polytechnique, France
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dc.relation.isbn
978-1-61197-777-6
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dc.relation.doi
10.1137/1.9781611977783
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dc.description.startpage
83
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dc.description.endpage
101
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SIAM
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dc.type.category
Edited Volume Contribution
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tuw.booktitle
Rough volatility
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tuw.book.ispartofseries
Financial mathematics
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tuw.relation.publisher
SIAM
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tuw.relation.publisherplace
Philadelphia
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tuw.book.chapter
4
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A4
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C4
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Mathematical Methods in Economics
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Mathematical and Algorithmic Foundations
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80
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20
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E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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tuw.publisher.doi
10.1137/1.9781611977783.ch4
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19
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0000-0002-4172-3956
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0000-0003-3986-3201
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0000-0003-2571-8388
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Wirtschaftswissenschaften
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Mathematik
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book part
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en
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no Fulltext
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restricted
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crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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Imperial College London, United Kingdom
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crisitem.author.dept
Ecole Polytechnique, France
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0000-0002-4172-3956
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0000-0003-3986-3201
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E105 - Institut für Stochastik und Wirtschaftsmathematik