{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/a-generalization-of-the-rational-rough-heston","title":"A generalization of the rational rough Heston approximation","arxiv_id":"2310.09181","date":"2023-10-13","proceeding":null,"authors":["Jim Gatheral","Radoš Radoičić"],"abstract":"Previously, in [GR19], we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case \\lambda = 0, which corresponds to a pure power-law kernel. In this paper we extend this solution to the general case of the Mittag-Leffler kernel with \\lambda \\geq 0. We provide numerical evidence of the convergence of the solution.","url_abs":"https://arxiv.org/abs/2310.09181v2","url_pdf":"https://arxiv.org/pdf/2310.09181v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"a-generalization-of-the-rational-rough-heston","repo_url":"https://github.com/jgatheral/rationalroughheston","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}