The characteristic function of rough Heston models

@article{ElEuch2016TheCF,
  title={The characteristic function of rough Heston models},
  author={Omar El Euch and Mathieu Rosenbaum},
  journal={Mathematical Finance},
  year={2016},
  volume={29},
  pages={3 - 38}
}
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non‐Markovian nature of the fractional Brownian motion, they raise new issues when it comes to derivatives pricing. Using an original link between nearly unstable Hawkes processes and fractional volatility models, we… 

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Asymptotic Behavior of the Fractional Heston Model

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Rough volatility: Evidence from option prices

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