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Rough Heston model as the scaling limit of bivariate cumulative heavy-

Publication: Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing. Published Mar 24, 2025.

arxiv.orgPublished Mar 24, 2025
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Overview

Publication: Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing. Published Mar 24, 2025.

Publication information

Publication title
Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing
Authors
Yingli Wang, Zhenyu Cui, Lingjiong Zhu
Published
Mar 24, 2025
Last publication revision
Apr 14, 2026
Subject areas
math.PR, q-fin.MF
Publication source
arxiv.org · abs/2503.18259v6 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2503.18259 ↗

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github.com

the official implementation of the paper “Re(visiting) Time Series Foundation Models in Finance”.

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Code license
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foundation-modeltime-seriesresearch-lab
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