Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration

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Bibliographic Details
Main Authors:	Jaber, Eduardo Abi, Bruneau, Soukaïna, De Carvalho, Nathan, Sotnikov, Dimitri, Tur, Laurent
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Computational Finance 91G20, 91G60
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2501.05975