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doi.org/10.1111/mafi.12173
Original paper
The characteristic function of rough Heston models
Omar El Euch
9
,
Mathieu Rosenbaum
16
View all 2 authors
Mathematical Finance
2.40
Volume: 29, Issue: 1, Pages: 3 - 38
Published
: Feb 8, 2018
207
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Paper Fields
Physics
Statistical physics
Function (biology)
Econometrics
Economics
SABR volatility model
Applied mathematics
Mathematics
Evolutionary biology
Stochastic volatility
Biology
Volatility (finance)
Heston model
Paper Details
Title
The characteristic function of rough Heston models
DOI
doi.org/10.1111/mafi.12173
Published Date
Feb 8, 2018
Journal
Mathematical Finance
Volume
29
Issue
1
Pages
3 - 38
Notes
History
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