Jusselin, Paul
- No-arbitrage implies power-law market impact and rough volatility
2018/05/18 by Jusselin, Paul, Rosenbaum, Mathieu · 6 citations
#FOS: Economics and business #Mathematical Finance (q-fin.MF) #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)
- The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
2020/01/06 by Jim Gatheral, Gatheral, Jim, Paul Jusselin +3 · 2 citations
Engineering · Materials Science · #3D Shape Modeling and Analysis #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Textile materials and evaluations
- Optimal market making with persistent order flow
2020/03/12 by Jusselin, Paul · 2 citations
#93E20 (Primary) 91G80 (Secondary) #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Risk Management (q-fin.RM) #Trading and Market Microstructure (q-fin.TR)
- How to design a derivatives market?
2019/09/19 by Baldacci, Bastien, Jusselin, Paul, Rosenbaum, Mathieu · 2 citations
#FOS: Economics and business #General Economics (econ.GN) #Trading and Market Microstructure (q-fin.TR)
- Optimal auction duration: A price formation viewpoint
2019/06/04 by Jusselin, Paul, Mastrolia, Thibaut, Rosenbaum, Mathieu · 1 citation
#FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Trading and Market Microstructure (q-fin.TR)
- From quadratic Hawkes processes to super-Heston rough volatility models\n with Zumbach effect
2019/07/13 by Aditi Dandapani, Paul Jusselin, Dandapani, Aditi +3 · 1 citation
Mathematics · #FOS: Economics and business #Point processes and geometric inequalities #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR)