Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility
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- Boris Ter-Avanesov & Gunter A. Meissner, 2024. "Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates," Papers 2411.16617, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-MST-2024-01-22 (Market Microstructure)
- NEP-RMG-2024-01-22 (Risk Management)
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