"Portfolio Optimization in Fractional and Rough Heston Models."

Nicole Bäuerle, Sascha Desmettre (2020)

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DOI: 10.1137/18M1217243

access: closed

type: Journal Article

metadata version: 2023-06-26

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Nicole Bäuerle, Sascha Desmettre:
Portfolio Optimization in Fractional and Rough Heston Models. SIAM J. Financial Math. 11(1): 240-273 (2020)

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