| Publication | Date of Publication | Type |
|---|
Optimal cleaning for singular values of cross-covariance matrices
The Annals of Applied Probability | 2023-06-05 | Paper |
Right large deviation principle for the top eigenvalue of the sum or product of invariant random matrices
Journal of Statistical Mechanics: Theory and Experiment | 2022-08-01 | Paper |
| Rank one HCIZ at high temperature: interpolating between classical and free convolutions | 2021-01-05 | Paper |
| A first course in random matrix theory: for physicists, engineers and data scientists | 2020-10-15 | Paper |
| On a Generalisation of the Marcenko-Pastur Problem | 2020-09-15 | Paper |
| Asymptotic behavior of the multiplicative counterpart of the Harish-Chandra integral and the $S$-transform | 2020-07-18 | Paper |
Extreme value problems in random matrix theory and other disordered systems
Journal of Statistical Mechanics: Theory and Experiment | 2019-10-22 | Paper |
Two short pieces around the Wigner problem
Journal of Physics A: Mathematical and Theoretical | 2019-10-07 | Paper |
Fluctuations and response in financial markets: the subtle nature of `random' price changes
Quantitative Finance | 2019-01-15 | Paper |
Statistical properties of stock order books: empirical results and models
Quantitative Finance | 2019-01-14 | Paper |
Correlation structure of extreme stock returns
Quantitative Finance | 2019-01-14 | Paper |
| The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy | 2017-09-27 | Paper |
The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
(available as arXiv preprint) | 2017-09-27 | Paper |
| Financial applications of random matrix theory: old laces and new pieces | 2017-09-27 | Paper |
Financial applications of random matrix theory: old laces and new pieces
(available as arXiv preprint) | 2017-09-27 | Paper |
Rotational Invariant Estimator for General Noisy Matrices
IEEE Transactions on Information Theory | 2017-04-28 | Paper |
Cleaning large correlation matrices: tools from random matrix theory
Physics Reports | 2017-04-12 | Paper |
| Instanton Approach to Large $N$ Harish-Chandra-Itzykson-Zuber Integrals | 2014-03-30 | Paper |
On the top eigenvalue of heavy-tailed random matrices
Europhysics Letters | 2012-08-11 | Paper |
Financial applications of random matrix theory: a short review
(available as arXiv preprint) | 2012-01-05 | Paper |
Large dimension forecasting models and random singular value spectra
The European Physical Journal B. Condensed Matter and Complex Systems | 2010-06-25 | Paper |
| Theory of Financial Risk and Derivative Pricing | 2009-08-03 | Paper |
| Theory of Financial Risk and Derivative Pricing | 2009-07-03 | Paper |
Relation between bid–ask spread, impact and volatility in order-driven markets
Quantitative Finance | 2008-08-07 | Paper |
Random walks, liquidity molasses and critical response in financial markets
Quantitative Finance | 2006-08-21 | Paper |
OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
More statistical properties of order books and price impact
Physica A | 2003-05-21 | Paper |
Phenomenology of the interest rate curve
Applied Mathematical Finance | 2002-09-04 | Paper |
scientific article; zbMATH DE number 1552554 (Why is no real title available?)
(available as arXiv preprint) | 2002-02-25 | Paper |
| Strings attached. | 2002-01-06 | Paper |
RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
International Journal of Theoretical and Applied Finance | 2001-10-23 | Paper |
More stylized facts of financial markets: leverage effect and downside correlations
Physica A | 2001-10-23 | Paper |
Back to basics: historical option pricing revisited
Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences | 2001-06-27 | Paper |
| scientific article; zbMATH DE number 1550531 (Why is no real title available?) | 2001-01-14 | Paper |
Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
Physica A | 2001-01-09 | Paper |
| scientific article; zbMATH DE number 1222791 (Why is no real title available?) | 1998-11-11 | Paper |
Mean-field equations for spin models with orthogonal interaction matrices
Journal of Physics A: Mathematical and General | 1997-08-18 | Paper |
Spectral Initialization for High-Dimensional Phase Retrieval with Biased Spatial Directions
(available as arXiv preprint) | N/A | Paper |
