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ArticleRegime Switching Rough Heston Model

Mesias Alfeus2017

OA

Articlegreen2017

Regime Switching Rough Heston Model

Mesias Alfeus · Ludger Overbeck · Erik Schlögl

18 citations·0/0 files stored·Journal of Futures Markets

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 1968Fractional Brownian Motions, Fractional Noises and Applications 1994Autoregressive conditional heteroskedasticity and changes in regime 2002Regime Switches in Interest Rates 2018Volatility Is Rough 1998Long memory in continuous‐time stochastic volatility models 1999Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension

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2023From Constant to Rough: A Survey of Continuous Volatility Modelingarticle · 6 shared references 2020Fractional Riccati Equation and Its Applications to Rough Heston Model Using Numerical Methodsarticle · 6 shared references 2013Pricing variance swaps under a stochastic interest rate and volatility model with regime-switchingarticle · 5 shared references 2016Does the Hurst index matter for option prices under fractional volatility?article · 5 shared references 2020Rough Heston: The SINC wayarticle · 5 shared references 2018Volatility Is Rougharticle · 4 shared references

Details

Year2017

Typearticle

Published2017-01-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1002/fut.21993

openalex_workW2780544909

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