From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect

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Authors: Aditi Dandapani, Paul Jusselin, Mathieu Rosenbaum

Journal title: Quantitative Finance

Journal publisher: Institute of Physics Publishing

Published year: 2021

Published pages: 1-13

DOI identifier: 10.1080/14697688.2020.1841906

ISSN: 1469-7688