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From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Quantitative Finance ( IF 1.3 ) Pub Date : 2021-05-14 , DOI: 10.1080/14697688.2020.1841906 Aditi Dandapani 1 , Paul Jusselin 1 , Mathieu Rosenbaum 1
中文翻译:
从二次霍克斯过程到具有 Zumbach 效应的超 Heston 粗糙波动率模型
更新日期:2021-05-14
Quantitative Finance ( IF 1.3 ) Pub Date : 2021-05-14 , DOI: 10.1080/14697688.2020.1841906 Aditi Dandapani 1 , Paul Jusselin 1 , Mathieu Rosenbaum 1
Affiliation
Building log-normal-like rough volatility models with proper Zumbach effect using a microstructural approach
中文翻译:
从二次霍克斯过程到具有 Zumbach 效应的超 Heston 粗糙波动率模型
使用微观结构方法构建具有适当 Zumbach 效应的类对数正态波动率模型