Shaun

1. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
   2022/12/16 by Eduardo Abi Jaber, Camille Illand, Jaber, Eduardo Abi +3 · 2 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) #Statistical Methods and Inference #Stochastic processes and financial applications
2. Volatility models in practice: Rough, Path-dependent or Markovian?
   2024/01/07 by Jaber, Eduardo Abi, Shaun, Li · 3 citations
   #Computational Finance (q-fin.CP) #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR)
3. The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles
   2022/12/21 by Eduardo Abi Jaber, Jaber, Eduardo Abi, Camille Illand +3 · 1 citation
   Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications
4. 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