Mathieu Rosenbaum will present “Super-Heston rough volatility, Zumbach effect and the Guyon’s conjecture” on Apr 23: https://ethz.zoom.us/meeting/register/tJ0kfu6trD0oGtHBTVyMkSJDp-XRy1tblo3d?fbclid=IwAR1NIBwk2Q4j481dI7FJGnyV9Ekw61sTWi6LbCcRzTampfTAVdwDIkLqbYs
Reference paper: From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Work with Paul Jusselin, Aditi Dandapani and Jim Gatheral