关注
Paul Jusselin
Paul Jusselin
Post doctoral Fellow, Ecole Polytechnique
在 polytechnique.edu 的电子邮件经过验证 - 首页
标题
引用次数
引用次数
年份
The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
J Gatheral, P Jusselin, M Rosenbaum
arXiv preprint arXiv:2001.01789, 2020
732020
No‐arbitrage implies power‐law market impact and rough volatility
P Jusselin, M Rosenbaum
Mathematical Finance 30 (4), 1309-1336, 2020
662020
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
A Dandapani, P Jusselin, M Rosenbaum
Quantitative finance 21 (8), 1235-1247, 2021
372021
A fanning scheme for the parallel transport along geodesics on Riemannian manifolds
M Louis, B Charlier, P Jusselin, S Pal, S Durrleman
SIAM Journal on Numerical Analysis 56 (4), 2563-2584, 2018
222018
Understanding the momentum risk premium: An in-depth journey through trend-following strategies
P Jusselin, E Lezmi, H Malongo, C Masselin, T Roncalli, TL Dao
Available at SSRN 3042173, 2017
192017
Optimal auction duration: A price formation viewpoint
J Paul, M Thibaut, R Mathieu
Operations Research 69 (6), 1734-1745, 2021
112021
Optimal market making with persistent order flow
P Jusselin
SIAM Journal on Financial Mathematics 12 (3), 1150-1200, 2021
112021
How to design a derivatives market?
B Baldacci, P Jusselin, M Rosenbaum
Peter Carr Gedenkschrift: Research Advances in Mathematical Finance, 657-699, 2024
32024
Scaling Limit for Stochastic Control Problems in Population Dynamics
P Jusselin, T Mastrolia
Applied Mathematics & Optimization 88 (1), 14, 2023
12023
Scaling limit for stochastic control problems in population dynamics
P Jusselin, T Mastrolia
arXiv preprint arXiv:1911.00672, 2019
12019
Chapter 3: No-arbitrage implies power-law market impact and rough volatility35
P Jusselin, M Rosenbaum
Rough Volatility, 59-82, 2023
2023
Some aspects of the central role of financial market microstructure: Volatility dynamics, optimal trading and market design
P Jusselin
Institut Polytechnique de Paris, 2020
2020
系统目前无法执行此操作,请稍后再试。
文章 1–12