11 citations · 11 across the 1 of their papers we have counts for
2 papers
math.PR2018
Markovian structure of the Volterra Heston model
Eduardo Abi Jaber, Omar El Euch
We characterize the Markovian and affine structure of the Volterra Heston model in terms of an infinite-dimensional adjusted forward process and specify its state space. More preci…
q-fin.MF2017★ 11 cited
Perfect hedging in rough Heston models
Omar El Euch, Mathieu Rosenbaum
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few param…