Asymptotics of the Rough Heston Model
| dc.contributor.advisor | Ouwehand, Peter | |
| dc.contributor.author | Hayes, Joshua J | |
| dc.date.accessioned | 2022-02-22T04:08:57Z | |
| dc.date.available | 2022-02-22T04:08:57Z | |
| dc.date.issued | 2021 | |
| dc.date.updated | 2022-02-16T06:05:26Z | |
| dc.description.abstract | The recent explosion of work on rough volatility and fractional Brownian motion has led to the development of a new generation of stochastic volatility models. Such models are able to capture a wide range of stylised facts that classical models simply do not. While these models have sound mathematical underpinnings, they are difficult to implement, largely due to the fact that fractional Brownian motion is neither Markovian nor a semimartingale. One idea is to investigate the behaviour of these models as maturities become very small (or very large) and consider asymptotic estimates for quantities of interest. Here we investigate the performance of small-time asymptotic formulae for the cumulant generating function of the Fractional Heston model as presented in Guennoun et al. (2018). These formulae and their effectiveness for small-time pricing are interrogated and compared against the Rough Heston model proposed in El Euch and Rosenbaum (2019). | |
| dc.identifier.apacitation | Hayes, J. J. (2021). <i>Asymptotics of the Rough Heston Model</i>. (). ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/35803 | en_ZA |
| dc.identifier.chicagocitation | Hayes, Joshua J. <i>"Asymptotics of the Rough Heston Model."</i> ., ,Faculty of Commerce ,Department of Finance and Tax, 2021. http://hdl.handle.net/11427/35803 | en_ZA |
| dc.identifier.citation | Hayes, J.J. 2021. Asymptotics of the Rough Heston Model. . ,Faculty of Commerce ,Department of Finance and Tax. http://hdl.handle.net/11427/35803 | en_ZA |
| dc.identifier.ris | TY - Master Thesis AU - Hayes, Joshua J AB - The recent explosion of work on rough volatility and fractional Brownian motion has led to the development of a new generation of stochastic volatility models. Such models are able to capture a wide range of stylised facts that classical models simply do not. While these models have sound mathematical underpinnings, they are difficult to implement, largely due to the fact that fractional Brownian motion is neither Markovian nor a semimartingale. One idea is to investigate the behaviour of these models as maturities become very small (or very large) and consider asymptotic estimates for quantities of interest. Here we investigate the performance of small-time asymptotic formulae for the cumulant generating function of the Fractional Heston model as presented in Guennoun et al. (2018). These formulae and their effectiveness for small-time pricing are interrogated and compared against the Rough Heston model proposed in El Euch and Rosenbaum (2019). DA - 2021_ DB - OpenUCT DP - University of Cape Town KW - Mathematical Finance LK - https://open.uct.ac.za PY - 2021 T1 - Asymptotics of the Rough Heston Model TI - Asymptotics of the Rough Heston Model UR - http://hdl.handle.net/11427/35803 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/35803 | |
| dc.identifier.vancouvercitation | Hayes JJ. Asymptotics of the Rough Heston Model. []. ,Faculty of Commerce ,Department of Finance and Tax, 2021 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/35803 | en_ZA |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | Department of Finance and Tax | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.subject | Mathematical Finance | |
| dc.title | Asymptotics of the Rough Heston Model | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationlevel | MPhil |