collaborators

1 paper

q-fin.MF2026

Microstructural Foundation for the Rough Hawkes--Heston Model

Yingli Wang, Yinhao Wu, Lingjiong Zhu

Hawkes-based microstructural foundations for rough volatility, leverage, and rough Heston-type limits were developed by El Euch et al. (2018, Finance Stoch., 22(2), 241--280) and c…