[47]
Publications
[46]
[45]
Affine Structure of the Brownian Signature
with Elie Attal and Dimitri Sotnikov, 2026.
[44]
[43]
[42]
[41]
[40]
[39]
[38]
[37]
[36]
Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
with Elie Attal, Finance and Stochastics, to appear.
[35]
Martingale property and moment explosions in signature volatility models
with Paul Gassiat and Dimitri Sotnikov, Finance and Stochastics, to appear .
[34]
From Hyper Roughness to Jumps as H -> -1/2
with Elie Attal and Mathieu Rosenbaum, The Annals of Applied Probability, 36(4): 3635-3660, 2026.
[33]
[32]
Fredholm Approach to Nonlinear Propagator Models
with Alessandro Bondi, Nathan De Carvalho, Eyal Neuman and Sturmius Tuschmann, Finance and Stochastics, to appear .
[31]
[30]
The Volterra Stein-Stein model with stochastic interest rates
with Donatien Hainaut and Edouard Motte, Quantitative Finance, to appear .
[29]
[28]
[27]
[26]
[25]
Path-dependent processes from signatures
with Louis-Amand Gérard and Yuxing Huang, The Annals of Applied Probability, to appear.
[24]
Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
with Shaun Li and Xuyang Lin, Finance and Stochastics, 30, 1023-1079, 2026. (🌟 CFA Quant Awards 2024)
[23]
Polynomial Volterra processes
with Christa Cuchiero, Luca Pelizzari, Sergio Pulido and Sara Svaluto-Ferro, Electronic Journal of Probability, 29, 1-37, 2024.
[22]
[21]
Signature volatility models: pricing and hedging with Fourier
with Louis-Amand Gérard, SIAM Journal on Financial Mathematics, 16:2, 606-642, 2025.
[20]
Volatility models in practice: Rough, Path-dependent or Markovian?
with Shaun Li, Mathematical Finance, 35, no. 4: 796–817, 2025.
[19]
[18]
Reconciling rough volatility with jumps
with Nathan De Carvalho, SIAM Journal on Financial Mathematics, 15(3), 785-823, 2024. (🌟 BFS Junior Scholar Award 2024)
[17]
The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles
with Camille Illand and Shaun Li, Risk Magazine (Cutting Edge section), June 2023.
[16]
Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
with Camille Illand and Shaun Li, Mathematical Finance, 35, no. 2: 470-519, 2025.
[15]
Optimal Liquidation with Signals: the General Propagator Case
with Eyal Neuman, Mathematical Finance, 35, no. 4: 841–866, 2025.
[14]
Gaussian Agency problems with memory and Linear Contracts
with Stéphane Villeneuve, Finance & Stochastics, 29, no. 1: 143-176, 2025.
[13]
[12]
[11]
Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
Bernoulli, 27(3), 1583-1615, 2021.
[10]
The Laplace transform of the integrated Volterra Wishart process
Mathematical Finance, 32(1), 309-348, 2022.
[9]
Integral operator Riccati equations arising in stochastic Volterra control problems
with Enzo Miller and Huyên Pham, SIAM Journal on Control and Optimization, 59(2), 1581-1603, 2021.
[8]
[7]
A weak solution theory for stochastic Volterra equations of convolution type
with Christa Cuchiero, Martin Larsson and Sergio Pulido, Annals of Applied Probability, 31(6), 2924-2952, 2021.
[6]
Lifting the Heston model
Quantitative Finance, 19(12), 1995-2013, 2019.
[5]
Markovian structure of the Volterra Heston model
with Omar El Euch, Statistics & Probability Letters, Volume 149, Pages 63-72, 2019.
[4]
Multifactor approximation of rough volatility models
with Omar El Euch, SIAM Journal on Financial Mathematics, 10(2), 309-349, 2019. (🌟 BFS Junior Scholar Award 2018)
[3]
Affine Volterra processes
with Martin Larsson and Sergio Pulido, Annals of Applied Probability, Volume 29, Number 5, 3155-3200, 2019.
[2]
Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients
Electronic Communications in Probability, 22, paper no. 53, 15 pp, 2017.
[1]
Stochastic invariance of closed sets with non-Lipschitz coefficients
with Bruno Bouchard and Camille Illand, Stochastic Processes and their Applications, Volume 129, Issue 5, Pages 1726-1748, 2019.