<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>
-
dc.identifier.uri
http://hdl.handle.net/20.500.12708/191224
-
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 of Great Britain and Northern Ireland (the)
-
dc.contributor.affiliation
École Polytechnique, France
-
dc.contributor.editoraffiliation
Weierstrass Institute for Applied Analysis and Stochastics, Germany
-
dc.contributor.editoraffiliation
Technische Universität Berlin, Germany
-
dc.contributor.editoraffiliation
Osaka University, Japan
-
dc.contributor.editoraffiliation
Imperial College London, United Kingdom of Great Britain and Northern Ireland (the)
-
dc.contributor.editoraffiliation
École Polytechnique, France
-
dc.relation.isbn
978-1-61197-777-6
-
dc.relation.doi
10.1137/1.9781611977783
-
dc.description.startpage
83
-
dc.description.endpage
101
-
dc.rights.holder
SIAM
-
dc.type.category
Edited Volume Contribution
-
tuw.booktitle
Rough volatility
-
tuw.book.ispartofseries
Financial mathematics
-
tuw.relation.publisher
SIAM
-
tuw.relation.publisherplace
Philadelphia
-
tuw.book.chapter
4
-
tuw.researchTopic.id
A4
-
tuw.researchTopic.id
C4
-
tuw.researchTopic.name
Mathematical Methods in Economics
-
tuw.researchTopic.name
Mathematical and Algorithmic Foundations
-
tuw.researchTopic.value
80
-
tuw.researchTopic.value
20
-
tuw.publication.orgunit
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
tuw.publisher.doi
10.1137/1.9781611977783.ch4
-
dc.description.numberOfPages
19
-
tuw.author.orcid
0000-0002-4172-3956
-
tuw.author.orcid
0000-0003-3986-3201
-
tuw.editor.orcid
0000-0003-2571-8388
-
tuw.editor.orcid
0000-0002-0192-8797
-
tuw.editor.orcid
0000-0003-3986-3201
-
wb.sciencebranch
Wirtschaftswissenschaften
-
wb.sciencebranch
Mathematik
-
wb.sciencebranch.oefos
5020
-
wb.sciencebranch.oefos
1010
-
wb.sciencebranch.value
30
-
wb.sciencebranch.value
70
-
item.languageiso639-1
en
-
item.grantfulltext
restricted
-
item.cerifentitytype
Publications
-
item.openairetype
book part
-
item.openairecristype
http://purl.org/coar/resource_type/c_3248
-
item.fulltext
no Fulltext
-
crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
-
crisitem.author.dept
Imperial College London
-
crisitem.author.dept
École Polytechnique
-
crisitem.author.orcid
0000-0002-4172-3956
-
crisitem.author.orcid
0000-0003-3986-3201
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik
