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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.
Convex Analysis
R. Tyrrell Rockafellar · 1970
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On Volterra equations of the first kind
Gustaf Gripenberg · 1980
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Higher transcendental functions, Vol. III, based on notes left by Harry Bateman, reprint of the 1955 original
Arthur Erdélyi, Wilhelm Magnus, Fritz Oberhettinger, and Francesco G Tricomi · 1981
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Probability and measure
Patrick Billingsley · 1986
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Volterra integral and functional equations
Gustaf Gripenberg, Stig-Olof Londen, and Olof Staffans · 1990
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Stock prices and volume
A Ronald Gallant, Peter E Rossi, and George Tauchen · 1992
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A closed-form solution for options with stochastic volatility with applications to bond and currency options
Steven L Heston · 1993
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Ordinary Differential Equations
Wolfgang Walter · 1996
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Darrell Duffie, Damir Filipović, and Walter Schachermayer · 2003
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Emmanuel Bacry, Iacopo Mastromatteo, and Jean-François Muzy · 2015
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Limit theorems for nearly unstable Hawkes processes
Thibault Jaisson and Mathieu Rosenbaum · 2015
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Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes
Thibault Jaisson and Mathieu Rosenbaum · 2016
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Eduardo Abi Jaber, Martin Larsson, and Sergio Pulido · 2017
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The microstructural foundations of leverage effect and rough volatility
Omar El Euch, Masaaki Fukasawa, and Mathieu Rosenbaum · 2018
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The characteristic function of rough Heston models
Omar El Euch and Mathieu Rosenbaum · 2018
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Drumi D Bainov and Pavel S Simeonov · 2013
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Perfect hedging in rough Heston models
Omar El Euch and Mathieu Rosenbaum · 2018
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