Mehdi Tomas
From MaRDI portal
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| A characterisation of cross-impact kernels Frontiers of Mathematical Finance | 2023-06-26 | Paper |
| How to build a cross-impact model from first principles: theoretical requirements and empirical results Quantitative Finance | 2022-05-27 | Paper |
| From microscopic price dynamics to multidimensional rough volatility models Advances in Applied Probability | 2022-01-18 | Paper |
| Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models Quantitative Finance | 2021-12-01 | Paper |
Research outcomes over time
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