From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
نویسندگان
چکیده
Building log-normal-like rough volatility models with proper Zumbach effect using a microstructural approach
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2021
ISSN: ['1469-7696', '1469-7688']
DOI: https://doi.org/10.1080/14697688.2020.1841906