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Eduardo Abi-Jaber
Eduardo Abi-Jaber
Verified email at polytechnique.edu - Homepage
Title
Cited by
Cited by
Year
Affine Volterra processes
E Abi Jaber, M Larsson, S Pulido
The Annals of Applied Probability 29 (5), 3155-3200, 2019
2292019
Multi-factor approximation of rough volatility models
E Abi Jaber, O El Euch
SIAM Journal on Financial Mathematics, 10(2), 309-349., 2019
1702019
Lifting the Heston model
E Abi Jaber
Quantitative Finance 19 (12), 1995-2013, 2019
1112019
Markovian structure of the Volterra Heston model
E Abi Jaber, O El Euch
Statistics & Probability Letters 149 (2019): 63-72., 2019
792019
A weak solution theory for stochastic Volterra equations of convolution type
E Abi Jaber, C Cuchiero, M Larsson, S Pulido
The Annals of Applied Probability, 31(6), 2924-2952., 2021
472021
Linear--Quadratic control for a class of stochastic Volterra equations: solvability and approximation
E Abi Jaber, E Miller, H Pham
The Annals of Applied Probability, 31(5), 2244-2274., 2021
46*2021
Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels
E Abi Jaber
Bernoulli 27 (3), 1583-1615, 2021
422021
Markowitz portfolio selection for multivariate affine and quadratic Volterra models
E Abi Jaber, E Miller, H Pham
SIAM Journal on Financial Mathematics 12 (1), 369-409, 2021
352021
Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
E Abi Jaber, C Illand, S Li
Mathematical Finance, 2024
282024
The characteristic function of Gaussian stochastic volatility models: an analytic expression
E Abi Jaber
Finance and Stochastics, 2022
262022
The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles
E Abi Jaber, C Illand, S Li
Risk Magazine, Cutting Edge Section, 2023
222023
Optimal Liquidation with Signals: the General Propagator Case
E Abi Jaber, E Neuman
arXiv preprint arXiv:2211.00447, 2022
212022
Integral operator Riccati equations arising in stochastic Volterra control problems
E Abi Jaber, E Miller, H Pham
SIAM Journal on Control and Optimization 59 (2), 1581-1603, 2021
202021
Volatility models in practice: Rough, Path-dependent or Markovian?
E Abi Jaber, S Li
arXiv preprint arXiv:2401.03345, 2024
162024
The Laplace transform of the integrated Volterra Wishart process
E Abi Jaber
Mathematical Finance, 2022
162022
Stochastic invariance of closed sets with non-Lipschitz coefficients
E Abi Jaber, B Bouchard, C Illand
Stochastic Processes and their Applications 129 (5), 1726-1748, 2019
152019
Equilibrium in Functional Stochastic Games with Mean-Field Interaction
E Abi Jaber, E Neuman, M Voß
arXiv preprint arXiv:2306.05433, 2023
132023
Reconciling rough volatility with jumps
E Abi Jaber, N De Carvalho
SIAM Journal on Financial Mathematics 15 ((3)), 785-823., 2024
122024
Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients
E Abi Jaber
Electronic Communications in Probability, 2017
92017
Signature volatility models: pricing and hedging with Fourier
E Abi Jaber, LA Gérard
arXiv preprint arXiv:2402.01820, 2024
72024
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