<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 of Great Britain and Northern Ireland (the)
-
dc.contributor.affiliation
Ecole Polytechnique, France
-
dc.contributor.editoraffiliation
WIAS Berlin, 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
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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dc.rights.holder
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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tuw.researchTopic.id
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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Wirtschaftswissenschaften
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Mathematik
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1010
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Publications
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no Fulltext
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book part
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restricted
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E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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Imperial College London
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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
