Roughening Heston

El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model

CLICK HERE TO VIEW THE PDF

CLICK HERE TO LISTEN TO OUR PODCAST WITH MATHIEU ROSENBAUM

Rough volatility models are known to fit the volatility surface with very few parameters. The classical Heston model, however, is highly tractable, allowing for fast calibration. Omar El Euch, Jim Gatheral and Mathieu Rosenbaum present here the rough Heston model, which combines these two worlds. In particular, the authors find they can accurately approximate rough Heston model values by scaling the

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: