Expanding the Rough Heston Model in H

By Paul P. Hager, Dörte Kreher

Published 2026-06-16

Everscope rating

1906.5

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Taylor expansion of fractional Riccati solution in Hurst parameter. Problem types: Option Pricing, Risk Management, Numerical Approximation, Sensitivity Analysis.

arXiv:2606.16619 · Code · Paper rankings

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