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All my papers are freely available on arXiv or SSRN.

Preprints
  • [PDF] Risk premium and rough volatility (with O. Bonesini, A. Muguruza), March 2024

  • [PDF] Interest rate convexity in a Gaussian framework (with M. Oumgari), March 2024

  • [PDF] Unsupervised Random Quantum Networks for PDEs (with J. Dees, S. Laizet), December 2023

  • [PDF] Natural Language Processing for Financial Regulation (with I. Achitouv, D. Gorduza), November 2023

  • [PDF] Transportation-cost inequalities for non-linear Gaussian functionals (with I. Gasteratos), October 2023

  • [PDF] XPDE for X in {BS, FBS, P}: a rough volatility context (with O. Bonesini), September 2023

  • [PDF] Interest rate convexity in a Gaussian framework (with M. Oumgari), July 2023

  • [PDF] Propagation of carbon tax in credit portfolio (G. Bouveret, J.-F. Chassagneux, S. Ibbou, L. Sopgoui), July 2023

  • [PDF] Universal Approximation Theorem and error bounds for quantum neural networks and reservoirs (with L. Gonon), July 2023

  • [PDF] Random neural networks for rough volatility (with Z. Zuric), May 2023
  • [PDF] Rough volatility, path-dependent PDEs and weak rates of convergence (with O. Bonesini, A. Pannier), April 2023
  • [PDF] A theoretical analysis of Guyon's toy volatility model (with O. Bonesini, C. Lacombe), Nov 2022
  • [PDF] On the ergodic behaviour of affine Volterra processes (with A. Pannier, K. Spiliopoulos), April 2022

  • [PDF] Rough multifactor volatility for SPX and VIX options (with A. Muguruza, A. Pannier), December 2021

  • [PDF] Portfolio optimisation with options (with J. Chan, T. Huckle, A. Muguruza), November 2021

  • [PDF] Market regime classification with signatures (with P. Bilokon, C. McIndoe), June 202
  • [PDF] Stacked Monte Carlo for option pricing (with E. Malone, M. Oumgari), March 2019
  • [PDF] How many paths to simulate correlated Brownian motions? (with L. Jeannerod), Aug 2017
Publications
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  • [PDF] Quantum Computing for Financial Mathematics (with O. Kondratyev, G. Lee, M. Oumgari)
    SIAM News, 2024

  • [PDF] Functional central limit theorems for rough volatility (with B. Horvath, A. Muguruza, A. Sojmark)
    Finance and Stochastics, 2024

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  • [PDF] Asymptotic formulae for implied volatility under the Heston model (with M. Forde and A. Mijatović)
    Proceedings of the Royal Society A, 466 (2124): 3593-3620, 2010
  • [PDF] Robust approximations for pricing Asian options and volatility swaps under stochastic volatility (with M. Forde)
    Applied Mathematical Finance, 17 (3): 241-259, 2010
  • [PDF] The uncertain volatility model (with C. Martini)
    Encyclopedia of Quantitative Finance, 2010
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