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The Zumbach effect under rough Heston
El Euch, Omar
;
Gatheral, Jim
;
Radoičić, Radoš
; …
- In:
Quantitative finance
20
(
2020
)
2
,
pp. 235-241
Persistent link: https://www.econbiz.de/10012194863
Saved in:
2
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
3
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Dandapani, Aditi
;
Jusselin, Paul
;
Rosenbaum, Mathieu
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1235-1247
Persistent link: https://www.econbiz.de/10012608638
Saved in:
4
Special issue of quantitative finance in honor of Michael Dempster's 85th birthday : foreword
Gatheral, Jim
;
Tehranchi, Mike
- In:
Quantitative finance
24
(
2024
)
9
,
pp. 1197-1198
Persistent link: https://www.econbiz.de/10015196877
Saved in:
5
Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa
;
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
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6
In memoriam Mardi Dungey
Dempster, Michael A. H.
;
Gatheral, Jim
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 631-631
Persistent link: https://www.econbiz.de/10013367840
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7
In memoriam Marco Avellaneda
Dempster, Michael A. H.
;
Gatheral, Jim
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1803-1803
Persistent link: https://www.econbiz.de/10013367948
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8
A generalization of the rational rough Heston approximation
Gatheral, Jim
;
Radoičić, Radoš
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 329-335
Persistent link: https://www.econbiz.de/10014551997
Saved in:
9
In memoriam Peter Carr
Dempster, Michael A. H.
;
Gatheral, Jim
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 407-407
Persistent link: https://www.econbiz.de/10013167763
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