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All my papers are freely available on arXiv or SSRN.

Preprints
  • [PDF] Quantum Neural Networks for PDEs: Overcoming limitations and improving convergence (with J. Dees, S. Laizet), February 2025

  • [PDFIn-sample and out-of-sample Sharpe ratios for linear predictive models (with J. Muhle-Karbe, J. Mulligan), January 2025

  • [PDFRough volatility, path-dependent PDEs and weak rates of convergence [v2] (with O. Bonesini, A. Pannier), January 2025

  • [PDF] Rough differential equations for volatility (with O. Bonesini, E. Ferrucci, I. Gasteratos), December 2024​​

  • [PDF] Deep interpretability for rough volatility (with D. Brigo, N. Pede, B. Yuan), November 2024​

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

  • [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] Random neural networks for rough volatility (with Z. Zuric), May 2023

  • [PDF] On the ergodic behaviour of affine Volterra processes (with A. Pannier, K. Spiliopoulos), April 2022
  • [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] 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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