| Publication | Date of Publication | Type |
|---|
| Unsupervised random quantum networks for PDEs | 2024-10-29 | Paper |
| Interest rate convexity in a Gaussian framework | 2024-08-26 | Paper |
| Functional central limit theorems for rough volatility | 2024-07-02 | Paper |
| Functional quantization of rough volatility and applications to volatility derivatives | 2024-04-12 | Paper |
| The log‐moment formula for implied volatility | 2024-01-31 | Paper |
| Transportation-cost inequalities for non-linear Gaussian functionals | 2023-10-09 | Paper |
| Perturbation analysis of sub/super hedging problems | 2023-09-28 | Paper |
| $\mathfrak{X}$PDE for $\mathfrak{X} \in \{\mathrm{BS},\mathrm{FBS}, \mathrm{P}\}$: a rough volatility context | 2023-09-20 | Paper |
| Universal Approximation Theorem and error bounds for quantum neural networks and quantum reservoirs | 2023-07-24 | Paper |
| Deep Curve-Dependent PDEs for Affine Rough Volatility | 2023-06-01 | Paper |
| Random neural networks for rough volatility | 2023-05-01 | Paper |
| Rough volatility, path-dependent PDEs and weak rates of convergence | 2023-04-06 | Paper |
| The implied volatility of Forward-Start options: ATM short-time level, skew and curvature | 2022-07-05 | Paper |
| Large and moderate deviations for stochastic Volterra systems | 2022-05-16 | Paper |
| On the large-time behaviour of affine Volterra processes | 2022-04-11 | Paper |
| Short communication: A quantum algorithm for linear PDEs arising in finance | 2021-11-05 | Paper |
| Large and moderate deviations for importance sampling in the Heston model | 2021-10-30 | Paper |
| A Quantum Generative Adversarial Network for distributions | 2021-10-04 | Paper |
| Corrigendum to: ``Pathwise large deviations for the rough Bergomi model | 2021-09-24 | Paper |
| On VIX futures in the rough Bergomi model | 2021-09-03 | Paper |
| Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles | 2021-05-17 | Paper |
| Anomalous diffusions in option prices: connecting trade duration and the volatility term structure | 2021-01-15 | Paper |
| Volatility options in rough volatility models | 2020-06-08 | Paper |
| Pathwise moderate deviations for option pricing | 2020-05-14 | Paper |
| Small-time moderate deviations for the randomised Heston model | 2020-05-12 | Paper |
| On the uniqueness of solutions of stochastic Volterra equations | 2019-12-12 | Paper |
| Asymptotic behaviour of randomised fractional volatility models | 2019-07-31 | Paper |
| The randomized Heston model | 2019-05-14 | Paper |
| Stacked Monte Carlo for option pricing | 2019-03-26 | Paper |
| Mass at zero in the uncorrelated SABR model and implied volatility asymptotics | 2019-02-06 | Paper |
| Pathwise large deviations for the rough Bergomi model | 2019-01-17 | Paper |
| Large deviations for the extended Heston model: the large-time case | 2018-12-03 | Paper |
| No-arbitrage bounds for the forward smile given marginals | 2018-11-19 | Paper |
| On VIX futures in the rough Bergomi model | 2018-11-14 | Paper |
| Asymptotic behavior of the fractional Heston model | 2018-10-31 | Paper |
| Optimal liquidation in a level-I limit order book for large-tick stocks | 2018-10-31 | Paper |
| Black-Scholes in a CEV random environment | 2018-07-05 | Paper |
| Implied volatility in strict local martingale models | 2018-04-16 | Paper |
| Shapes of implied volatility with positive mass at zero | 2018-03-12 | Paper |
| Functional central limit theorems for rough volatility | 2017-11-08 | Paper |
| How many paths to simulate correlated Brownian motions? | 2017-08-16 | Paper |
| An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients | 2017-01-11 | Paper |
| On the probability of hitting the boundary for Brownian motions on the SABR plane | 2016-12-21 | Paper |
| Generalized arbitrage-free SVI volatility surfaces | 2016-09-28 | Paper |
| Two examples of non strictly convex large deviations | 2016-05-23 | Paper |
| Large-maturity regimes of the Heston forward smile | 2016-03-03 | Paper |
| Asymptotic arbitrage in the Heston model | 2016-02-03 | Paper |
| From characteristic functions to implied volatility expansions | 2015-11-06 | Paper |
| Asymptotics of Forward Implied Volatility | 2015-05-15 | Paper |
| The large-maturity smile for the Heston model | 2014-12-18 | Paper |
| A note on essential smoothness in the Heston model | 2014-12-18 | Paper |
| Arbitrage-free SVI volatility surfaces | 2014-09-05 | Paper |
| Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models | 2014-04-25 | Paper |
| Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations | 2014-02-18 | Paper |
| Marginal density expansions for diffusions and stochastic volatility. II: Applications | 2014-02-18 | Paper |
| The smile of certain Lévy-type models | 2014-01-23 | Paper |
| The small-maturity Heston forward smile | 2014-01-23 | Paper |
| Convergence of Heston to SVI | 2013-06-27 | Paper |
| Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model] | 2013-05-29 | Paper |
| Correction note for ``The large-maturity smile for the Heston model | 2013-02-07 | Paper |
| Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model | 2012-06-08 | Paper |
| Asymptotic formulae for implied volatility in the Heston model | 2011-05-06 | Paper |
| Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility | 2010-09-21 | Paper |
| SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL | 2009-11-27 | Paper |
| Interest rate convexity in a Gaussian framework | N/A | Paper |
