| 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 | 73 | 2020 |
| No‐arbitrage implies power‐law market impact and rough volatility P Jusselin, M Rosenbaum Mathematical Finance 30 (4), 1309-1336, 2020 | 66 | 2020 |
| 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 | 37 | 2021 |
| 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 | 22 | 2018 |
| 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 | 19 | 2017 |
| Optimal auction duration: A price formation viewpoint J Paul, M Thibaut, R Mathieu Operations Research 69 (6), 1734-1745, 2021 | 11 | 2021 |
| Optimal market making with persistent order flow P Jusselin SIAM Journal on Financial Mathematics 12 (3), 1150-1200, 2021 | 11 | 2021 |
| How to design a derivatives market? B Baldacci, P Jusselin, M Rosenbaum Peter Carr Gedenkschrift: Research Advances in Mathematical Finance, 657-699, 2024 | 3 | 2024 |
| Scaling Limit for Stochastic Control Problems in Population Dynamics P Jusselin, T Mastrolia Applied Mathematics & Optimization 88 (1), 14, 2023 | 1 | 2023 |
| Scaling limit for stochastic control problems in population dynamics P Jusselin, T Mastrolia arXiv preprint arXiv:1911.00672, 2019 | 1 | 2019 |
| 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 |
