دنبال کردن
Eduardo Abi-Jaber
Eduardo Abi-Jaber
Ecole Polytechnique
ایمیل تأیید شده در polytechnique.edu - صفحهٔ اصلی
عنوان
نقل شده توسط
نقل شده توسط
سال
Affine Volterra processes‏
E Abi Jaber, M Larsson, S Pulido‏
The Annals of Applied Probability 29 (5), 3155-3200, 2019‏
2312019
Multi-factor approximation of rough volatility models‏
E Abi Jaber, O El Euch‏
SIAM Journal on Financial Mathematics, 10(2), 309-349., 2019‏
1772019
Lifting the Heston model‏
E Abi Jaber‏
Quantitative Finance 19 (12), 1995-2013, 2019‏
1122019
Markovian structure of the Volterra Heston model‏
E Abi Jaber, O El Euch‏
Statistics & Probability Letters 149 (2019): 63-72., 2019‏
812019
Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation‏
E Abi Jaber, E Miller, H Pham‏
The Annals of Applied Probability, 31(5), 2244-2274., 2021‏
48*2021
A weak solution theory for stochastic Volterra equations of convolution type‏
E Abi Jaber, C Cuchiero, M Larsson, S Pulido‏
The Annals of Applied Probability, 31(6), 2924-2952., 2021‏
462021
Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels‏
E Abi Jaber‏
Bernoulli 27 (3), 1583-1615, 2021‏
412021
Markowitz portfolio selection for multivariate affine and quadratic Volterra models‏
E Abi Jaber, E Miller, H Pham‏
SIAM Journal on Financial Mathematics 12 (1), 369-409, 2021‏
362021
The characteristic function of Gaussian stochastic volatility models: an analytic expression‏
E Abi Jaber‏
Finance and Stochastics, 2022‏
302022
Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints‏
E Abi Jaber, C Illand, S Li‏
Mathematical Finance, 2024‏
282024
Optimal Liquidation with Signals: the General Propagator Case‏
E Abi Jaber, E Neuman‏
arXiv preprint arXiv:2211.00447, 2022‏
232022
Integral operator Riccati equations arising in stochastic Volterra control problems‏
E Abi Jaber, E Miller, H Pham‏
SIAM Journal on Control and Optimization 59 (2), 1581-1603, 2021‏
222021
The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles‏
E Abi Jaber, C Illand, S Li‏
Risk Magazine, Cutting Edge Section, 2023‏
202023
The Laplace transform of the integrated Volterra Wishart process‏
E Abi Jaber‏
Mathematical Finance, 2022‏
192022
Volatility models in practice: Rough, Path-dependent or Markovian?‏
E Abi Jaber, S Li‏
arXiv preprint arXiv:2401.03345, 2024‏
182024
Equilibrium in Functional Stochastic Games with Mean-Field Interaction‏
E Abi Jaber, E Neuman, M Voß‏
arXiv preprint arXiv:2306.05433, 2023‏
152023
Stochastic invariance of closed sets with non-Lipschitz coefficients‏
E Abi Jaber, B Bouchard, C Illand‏
Stochastic Processes and their Applications 129 (5), 1726-1748, 2019‏
152019
Reconciling rough volatility with jumps‏
E Abi Jaber, N De Carvalho‏
SIAM Journal on Financial Mathematics 15 ((3)), 785-823., 2024‏
122024
Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients‏
E Abi Jaber‏
Electronic Communications in Probability, 2017‏
82017
Signature volatility models: pricing and hedging with Fourier‏
E Abi Jaber, LA Gérard‏
arXiv preprint arXiv:2402.01820, 2024‏
72024
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مقاله‌ها 1–20