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 |
|---|---|---|
| Optimal make–take fees for market making regulation Mathematical Finance | 2023-09-27 | Paper |
| The Zumbach effect under rough Heston Quantitative Finance | 2020-09-14 | Paper |
| Markovian structure of the Volterra Heston model Statistics & Probability Letters | 2019-09-05 | Paper |
| Markovian structure of the Volterra Heston model Statistics & Probability Letters | 2019-09-05 | Paper |
| Multifactor approximation of rough volatility models SIAM Journal on Financial Mathematics | 2019-07-26 | Paper |
| Short-term at-the-money asymptotics under stochastic volatility models SIAM Journal on Financial Mathematics | 2019-07-10 | Paper |
| The characteristic function of rough Heston models Mathematical Finance | 2019-05-08 | Paper |
| Perfect hedging in rough Heston models The Annals of Applied Probability | 2018-12-17 | Paper |
| Perfect hedging in rough Heston models The Annals of Applied Probability | 2018-12-17 | Paper |
| The microstructural foundations of leverage effect and rough volatility Finance and Stochastics | 2018-04-06 | Paper |
Research outcomes over time
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