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• [PDF] Unsupervised Random Quantum Networks for PDEs (with J. Dees, S. Laizet)
  Quantum Information Processing, 2024

• [PDF] Rough multifactor volatility for SPX and VIX options (with A. Muguruza, A. Pannier)
  Advances in Applied Probability, 2024​​

• [PDF] Natural Language Processing for Financial Regulation (with I. Achitouv, D. Gorduza)
  Journal of Artificial Intelligence and Autonomous Intelligence, 2024

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

• [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] Rough Heston (with S. Gerhold, M. Rosenbaum).
  Contributed chapter in Rough Volatility, SIAM, 2023

• [PDF] Rough volatility asymptotics (with C. Bayer, P.K. Friz, M. Fukasawa).
  Contributed chapter in Rough Volatility, SIAM, 2023

• [PDF] Functional quantization of rough volatility and applications to the VIX (with O. Bonesini, G. Callegaro)
  Quantitative Finance, 2023

• [PDF] Large and moderate deviations for importance sampling in the Heston model (with M. Geha, Z. Zuric)
  Annals of Operations Research, 2023

• [PDF] The Log Moment formula for implied volatility (with V. Raval)
  Mathematical Finance, 2023

• ​[PDF] Deep curve-dependent PDEs for affine rough volatility (with M. Oumgari)
  SIAM Journal on Financial Mathematics, 2023

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• ​[PDF] A Quantum Generative Adversarial Network for distributions (with A. Assouel, A. Kondratyev)
  Quantum Machine Intelligence, 2022

• [PDF] Large and moderate deviations for stochastic Volterra systems (with A. Pannier)
  Stochastic Processes and Applications, 2022

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• [PDF] A Quantum algorithm for linear PDEs arising in Finance (with F. Fontanella and M. Oumgari)
  SIAM Journal on Financial Mathematics, 2021

• [PDF] Perturbation analysis of sub/super hedging problems (with S. Badikov and M.H.A. Davis)
  Mathematical Finance, 2021

• [PDF] Dynamics of symmetric SSVI smiles and implied volatility bubbles (with M. El Amrani and C. Martini)
  SIAM Journal on Financial Mathematics, 2021

• [PDF] Note to pathwise large deviations for rough Bergomi (with S. Gerhold, M. Pakkanen, H. Stone, T. Wagenhofer)
  Journal of Applied Probability, 2021

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• [PDF] Anomalous diffusions in option prices: trade duration and volatility term structure (with L. Torricelli)
  SIAM Journal on Financial Mathematics, 11}(4), 1137-1167, 2020

• [PDF] Small-time moderate deviations for the randomised Heston model (with F. Shi)
  Journal of Applied Probability, 57(1): 19-28, 2020

• [PDF] Volatility options in rough volatility models (with B. Horvath and P. Tankov)
  SIAM Journal on Financial Mathematics, 11(2): 437-469, 2020

• [PDF] Pathwise moderate deviations for option pricing (with K. Spiliopoulos)
  Mathematical Finance, 40(2): 426-463, 2020

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• [PDF] Asymptotic behaviour of randomised fractional volatility models (with B. Horvath and C. Lacombe)
  Journal of Applied Probability, 56(2): 496-523, 2019

• [PDF] The randomised Heston model (with F. Shi)
  SIAM Journal on Financial Mathematics, 10(1), 89-129, 2019

• [PDF] The implied volatility of Forward-Start options: ATM short-time, skew and curvature (with E. Alos and J.A. Leon)
  Stochastics, 91(1): 37-51, 2019

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• [PDF] Mass at zero in the uncorrelated SABR model (with A. Gulisashvili and B. Horvath)
  Quantitative Finance, 18(10): 1753-1765, 2018

• [PDF] Pathwise large deviations for the rough Bergomi model (with M.S. Pakkanen and H. Stone)
  Journal of Applied Probability, 55(4): 1078-1092, 2018

• [PDF] Asymptotic behaviour of the fractional Heston model (with H. Guennoun, P. Roome and F. Shi)
  SIAM Journal on Financial Mathematics, 9(3), 1017-1045, 2018

• [PDF] Optimal liquidation in a Level-I limit order book for large tick stocks (with H. Liu)
  SIAM Journal on Financial Mathematics, 9(3), 875-906, 2018

• [PDF] Black-Scholes in a CEV random environment (with P. Roome)
  Mathematics and Financial Economics, 12(3), 445-474, 2018

• [PDF] Implied volatility in strict local martingale models (with M. Keller-Ressel)
  SIAM Journal on Financial Mathematics, 9(1): 171-189, 2018

• [PDF] On VIX Futures in the rough Bergomi model (with C. Martini and A. Muguruza)
  Quantitative Finance, 18(1): 45-61, 2018

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• [PDF] Shapes of implied volatility with positive mass at zero (with S. De Marco and C. Hillairet)
  SIAM Journal on Financial Mathematics, 8(1): 709-737, 2017

• [PDF] No-arbitrage bounds for the forward smile given marginals (with S. Badikov, D. Liu and P. Roome)
  Quantitative Finance, 17(8): 1243-1256, 2017

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• [PDF] Explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs (with J.F. Chassagneux, I. Mihaylov)
  SIAM Journal on Financial Mathematics, 7(1), 2016

• [PDF] On the probability of hitting the boundary of a Brownian motion on the SABR plane (with A. Gulisashvili, B. Horvath)
  Electronic Communications in Probability, 21(75): 1-13, 2016

• [PDF] Large-maturity regimes of the Heston forward smile (with P. Roome)
  Stochastic Processes and Applications, 126(4): 1087-1123, 2016

• [PDF] Generalised arbitrage-free SVI volatility surfaces (with G. Guo, C. Martini and L. Neufcourt)
  SIAM Journal on Financial Mathematics, 7(1), 619-641, 2016

• [PDF] Two examples of non strictly convex large deviations (with S. De Marco and P. Roome)
  Electronic Communications in Probability, 16(38): 1-12, 2016

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• [PDF] From characteristic functions to implied volatility expansions (with M. Lorig)
  Advances in Applied Probability, 47(3): 837-857, 2015

• [PDF] Asymptotic arbitrage in the Heston model (with F. Haba)
  International Journal of Theoretical and Applied Finance, 18(8), 2015

• [PDF] Asymptotics of forward implied volatility (with P. Roome)
  SIAM Journal on Financial Mathematics, 6(1): 307-351, 2015

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• [PDF] Arbitrage-free SVI volatility surfaces (with J. Gatheral)
  Quantitative Finance, 14(1): 59-71, 2014

• [PDF] Large deviations for the extended Heston model: the large-time case (with A. Mijatović)
  Asia-Pacific Financial Markets, 21(3): 263-280, 2014

• [PDF] Marginal density expansions for diffusions and stochastic volatility, Part II (with J.D. Deuschel, P. Friz, S. Violante)
  Communications on Pure and Applied Mathematics, 67(2): 321-350, 2014

• [PDF] Marginal density expansions for diffusions and stochastic volatility, Part I (with J.D. Deuschel, P. Friz, S. Violante)
  Communications on Pure and Applied Mathematics, 67(1): 40-82, 2014

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• [PDF] The smile of certain Lévy-type models (with M. Lorig)
  SIAM Journal on Financial Mathematics, 4(1): 804-830, 2013
• [PDF] The small-maturity Heston forward smile (with P. Roome)
  SIAM Journal on Financial Mathematics, 4(1): 831-856, 2013
• [PDF] Large deviations and stochastic volatility with jumps (with M. Keller-Ressel and A. Mijatović)
  Stochastics, 85(2): 321-345, 2013

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• [PDF] The small-time smile and term structure of implied volatility under the Heston model (with M. Forde and R. Lee) 
  SIAM Journal on Financial Mathematics, 3(1): 690-708, 2012

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• [PDF] A note on essential smoothness in the Heston model (with M. Forde and A. Mijatović)
  Finance and Stochastics, 15 (4): 781-784, 2011
• [PDF] Small-time asymptotics for an uncorrelated local-stochastic volatility model (with M. Forde)
  Applied Mathematical Finance, 18 (6): 517-535, 2011
• [PDF] Convergence of Heston to SVI (with J. Gatheral)
  Quantitative Finance, 11 (8): 1129-1132, 2011
• [PDF] The large-maturity smile for the Heston model (with M. Forde)
  Finance and Stochastics, 15 (4): 755-780, 2011

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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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• [PDF] Small-time asymptotics for implied volatility under the Heston model (with M. Forde)
  International Journal of Theoretical and Applied Finance, 12 (6): 861-876, 2009