4 citations · 5 across the 6 of their papers we have counts for
3 papers · 1 filter
The Zumbach effect under rough Heston
Omar El Euch, Jim Gatheral, Radoš Radoičić +1
Previous literature has identified an effect, dubbed the Zumbach effect, that is nonzero empirically but conjectured to be zero in any conventional stochastic volatility model. Ess…
Short-term at-the-money asymptotics under stochastic volatility models
Omar El Euch, Masaaki Fukasawa, Jim Gatheral +1
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at…
Affine forward variance models
Jim Gatheral, Martin Keller-Ressel
We introduce the class of affine forward variance (AFV) models of which both the conventional Heston model and the rough Heston model are special cases. We show that AFV models can…