Patrick Roome

Publication Activity (10 Years)

Years Active: 2013-2018
Publications (10 Years): 1

Top Topics

Chinese Stock Market

Multiresolution

Software Process

Top Venues

SIAM J. Financial Math.

Publications

Hamza Guennoun, Antoine Jacquier, Patrick Roome, Fangwei Shi
Asymptotic Behavior of the Fractional Heston Model. SIAM J. Financial Math. 9 (3) (2018)
Antoine Jacquier, Patrick Roome
Asymptotics of Forward Implied Volatility. SIAM J. Financial Math. 6 (1) (2015)
Antoine Jacquier, Patrick Roome
The Small-Maturity Heston Forward Smile. SIAM J. Financial Math. 4 (1) (2013)