Variance-Optimal Hedging in the Rough Hawkes–Heston Model

By Yingli Wang, Xiaoyu Wang

Published 2026-09-09

Everscope rating

1921.7

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

4 / 5

About this paper

Methodology: GKW Projection with Affine Conditional Transform and Kernel Regularization. Problem types: Optimization, Risk Management, Portfolio Optimization.

arXiv:2609.08541 · Code · Paper rankings

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