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Patrick Roome

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Journal Articles

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2018
[j3]
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  - journals/siamfm/GuennounJRS18
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  - https://dblp.org/rec/journals/siamfm/GuennounJRS18
Hamza Guennoun, Antoine Jacquier, Patrick Roome, Fangwei Shi:
Asymptotic Behavior of the Fractional Heston Model. SIAM J. Financial Math. 9(3): 1017-1045 (2018)
2015
[j2]
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  - journals/siamfm/JacquierR15
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Antoine Jacquier, Patrick Roome:
Asymptotics of Forward Implied Volatility. SIAM J. Financial Math. 6(1): 307-351 (2015)
2013
[j1]
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Antoine Jacquier, Patrick Roome:
The Small-Maturity Heston Forward Smile. SIAM J. Financial Math. 4(1): 831-856 (2013)

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