De Carvalho, Nathan
- Reconciling rough volatility with jumps
2023/03/13 by Eduardo Abi Jaber, Nathan De Carvalho, Jaber, Eduardo Abi +1 · 4 citations
Economics, Econometrics and Finance · Mathematics · #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Trading with propagators and constraints: applications to optimal execution and battery storage
2024/09/18 by Eduardo Abi Jaber, Jaber, Eduardo Abi, Nathan De Carvalho +3 · 1 citation
Computer Science · #49M05 #49M29 #93E20 #FOS: Mathematics #Optimization and Control (math.OC) #Optimization and Search Problems