Jaber, Eduardo Abi
- Multi-factor approximation of rough volatility models
2018/01/31 by Jaber, Eduardo Abi, Euch, Omar El · 7 citations
#Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR)
- Signature volatility models: pricing and hedging with Fourier
2024/02/02 by Jaber, Eduardo Abi, Gérard, Louis-Amand · 7 citations
#60L10 #91G20 #91G60 #FOS: Economics and business #Pricing of Securities (q-fin.PR)
- Optimal Liquidation with Signals: the General Propagator Case
2022/11/01 by Jaber, Eduardo Abi, Neuman, Eyal · 3 citations
#60H30 #91G80 #93E20 #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Trading and Market Microstructure (q-fin.TR)
- Reconciling rough volatility with jumps
2023/03/13 by Eduardo Abi Jaber, Nathan De Carvalho, Jaber, Eduardo Abi +1 · 3 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
- Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation
2019/11/05 by Jaber, Eduardo Abi, Miller, Enzo, Pham, Huyên · 2 citations
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)
- Path-dependent processes from signatures
2024/07/06 by Jaber, Eduardo Abi, Gérard, Louis-Amand, Huang, Yuxing · 6 citations
#60G22 #60H20 #60L10 #60L70 #FOS: Mathematics #Probability (math.PR)
- Optimal Portfolio Choice with Cross-Impact Propagators
2024/03/15 by Eduardo Abi Jaber, Jaber, Eduardo Abi, Eyal Neuman +3 · 3 citations
Economics, Econometrics and Finance · Decision Sciences · #Financial Markets and Investment Strategies #Economic theories and models #Risk and Portfolio Optimization
- Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
2019/12/15 by Eduardo Abi Jaber, Jaber, Eduardo Abi · 2 citations
Economics, Econometrics and Finance · Mathematics · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Point processes and geometric inequalities #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
- Markowitz portfolio selection for multivariate affine and quadratic Volterra models
2020/06/22 by Eduardo Abi Jaber, Jaber, Eduardo Abi, Enzo Miller +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Optimization and Control (math.OC) #Probability (math.PR) #Stochastic processes and financial applications
- Volatility models in practice: Rough, Path-dependent or Markovian?
2024/01/07 by Jaber, Eduardo Abi, Shaun, Li · 2 citations
#Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR)
- Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
2022/12/16 by Jaber, Eduardo Abi, Illand, Camille, Shaun +1 · 1 citation
#Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF)
- Equilibrium in Functional Stochastic Games with Mean-Field Interaction
2023/06/06 by Eduardo Abi Jaber, Eyal Neuman, Jaber, Eduardo Abi +3 · 1 citation
#math.OC #math.PR #q-fin.MF
- Simulation of square-root processes made simple: applications to the Heston model
2024/12/15 by Jaber, Eduardo Abi · 2 citations
#Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF)
- Polynomial Volterra processes
2024/03/21 by Jaber, Eduardo Abi, Cuchiero, Christa, Pelizzari, Luca +2 · 1 citation
#45D05 #60H15 #60K50 #FOS: Mathematics #Probability (math.PR)
- Fourier-Laplace transforms in polynomial Ornstein-Uhlenbeck volatility models
2024/05/03 by Eduardo Abi Jaber, Jaber, Eduardo Abi, Shaun +3 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
- Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
2025/04/28 by Jaber, Eduardo Abi, Attal, Elie · 3 citations
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)