Regime Switching Rough Heston Model


We consider the implementation and pricing under a regime switching rough Heston model combining the approach by Elliot et al. (2016) with the one by Euch and Rosenbaum (2016). [ view full abstract ]


  1. Mesias Alfeus (University of Technology Sydney)
  2. Ludger Overbeck (University of Giessen)

Topic Areas

Numerical Methods , Options , Stochastic Volatility


MO-A-B2 » Stochastic Volatility 1 (11:30 - Monday, 16th July, Beckett 2)

Presentation Files

The presenter has not uploaded any presentation files.