3 papers
q-fin.MF2026
Expanding the rough Heston model in
Paul P. Hager, Dörte Kreher
We study the dependence of the fractional Riccati equation in the rough Heston model on the Hurst parameter . For each expansion point , we derive a Taylor exp…
math.PR2025
Red noise in continuous-time stochastic modelling
Andreas Morr, Dörte Kreher, Niklas Boers
The concept of time-correlated noise is important to applied stochastic modelling. Nevertheless, there is no generally agreed-upon definition of the term red noise in continuous-ti…
math.PR2024
A cross-border market model with limited transmission capacities
Cassandra Milbradt, Dörte Kreher
We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market parti…