| Publication | Date of Publication | Type |
|---|
Unsupervised random quantum networks for PDEs
Quantum Information Processing | 2024-10-29 | Paper |
Interest rate convexity in a Gaussian framework
Quantitative Finance | 2024-08-26 | Paper |
Functional central limit theorems for rough volatility
Finance and Stochastics | 2024-07-02 | Paper |
Functional quantization of rough volatility and applications to volatility derivatives
Quantitative Finance | 2024-04-12 | Paper |
The log‐moment formula for implied volatility
Mathematical Finance | 2024-01-31 | Paper |
Transportation-cost inequalities for non-linear Gaussian functionals
| 2023-10-09 | Paper |
Perturbation analysis of sub/super hedging problems
Mathematical Finance | 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
SIAM Journal on Financial Mathematics | 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
Stochastics | 2022-07-05 | Paper |
Large and moderate deviations for stochastic Volterra systems
Stochastic Processes and their Applications | 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
SIAM Journal on Financial Mathematics | 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
Journal of Applied Probability | 2021-09-24 | Paper |
On VIX futures in the rough Bergomi model
Quantitative Finance | 2021-09-03 | Paper |
Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
Anomalous diffusions in option prices: connecting trade duration and the volatility term structure
SIAM Journal on Financial Mathematics | 2021-01-15 | Paper |
Volatility options in rough volatility models
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
Pathwise moderate deviations for option pricing
Mathematical Finance | 2020-05-14 | Paper |
Small-time moderate deviations for the randomised Heston model
Journal of Applied Probability | 2020-05-12 | Paper |
On the uniqueness of solutions of stochastic Volterra equations
| 2019-12-12 | Paper |
Asymptotic behaviour of randomised fractional volatility models
Journal of Applied Probability | 2019-07-31 | Paper |
The randomized Heston model
SIAM Journal on Financial Mathematics | 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
Quantitative Finance | 2019-02-06 | Paper |
Pathwise large deviations for the rough Bergomi model
Journal of Applied Probability | 2019-01-17 | Paper |
Large deviations for the extended Heston model: the large-time case
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
No-arbitrage bounds for the forward smile given marginals
Quantitative Finance | 2018-11-19 | Paper |
On VIX futures in the rough Bergomi model
Quantitative Finance | 2018-11-14 | Paper |
Asymptotic behavior of the fractional Heston model
SIAM Journal on Financial Mathematics | 2018-10-31 | Paper |
Optimal liquidation in a level-I limit order book for large-tick stocks
SIAM Journal on Financial Mathematics | 2018-10-31 | Paper |
Black-Scholes in a CEV random environment
Mathematics and Financial Economics | 2018-07-05 | Paper |
Implied volatility in strict local martingale models
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Shapes of implied volatility with positive mass at zero
SIAM Journal on Financial Mathematics | 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
SIAM Journal on Financial Mathematics | 2017-01-11 | Paper |
On the probability of hitting the boundary for Brownian motions on the SABR plane
Electronic Communications in Probability | 2016-12-21 | Paper |
Generalized arbitrage-free SVI volatility surfaces
SIAM Journal on Financial Mathematics | 2016-09-28 | Paper |
Two examples of non strictly convex large deviations
Electronic Communications in Probability | 2016-05-23 | Paper |
Large-maturity regimes of the Heston forward smile
Stochastic Processes and their Applications | 2016-03-03 | Paper |
Asymptotic arbitrage in the Heston model
International Journal of Theoretical and Applied Finance | 2016-02-03 | Paper |
From characteristic functions to implied volatility expansions
Advances in Applied Probability | 2015-11-06 | Paper |
Asymptotics of Forward Implied Volatility
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
The large-maturity smile for the Heston model
Finance and Stochastics | 2014-12-18 | Paper |
A note on essential smoothness in the Heston model
Finance and Stochastics | 2014-12-18 | Paper |
Arbitrage-free SVI volatility surfaces
Quantitative Finance | 2014-09-05 | Paper |
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
Stochastics | 2014-04-25 | Paper |
Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations
Communications on Pure and Applied Mathematics | 2014-02-18 | Paper |
Marginal density expansions for diffusions and stochastic volatility. II: Applications
Communications on Pure and Applied Mathematics | 2014-02-18 | Paper |
The smile of certain Lévy-type models
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
The small-maturity Heston forward smile
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Convergence of Heston to SVI
Quantitative Finance | 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
Finance and Stochastics | 2013-02-07 | Paper |
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
Applied Mathematical Finance | 2012-06-08 | Paper |
Asymptotic formulae for implied volatility in the Heston model
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2011-05-06 | Paper |
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
Applied Mathematical Finance | 2010-09-21 | Paper |
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
International Journal of Theoretical and Applied Finance | 2009-11-27 | Paper |
Interest rate convexity in a Gaussian framework
| N/A | Paper |
