2 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…
q-fin.MF2026
Microstructural Foundation of Rough Log-Normal Volatility Models
Paul P. Hager, Ulrich Horst, Thomas Wagenhofer +1
We establish a microstructural foundation of the rough Bergomi model. Specifically, we consider a sequence of order driven financial market models where orders to buy or sell an as…