Journal Articles (Published & Accepted)
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Martingale property and moment explosions in signature volatility models, with Eduardo Abi Jaber and Paul Gassiat. Finance and Stochastics, to appear, 2026.
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Heath–Jarrow–Morton meet lifted Heston in energy markets for joint historical and implied calibration, with Eduardo Abi Jaber, Soukaïna Bruneau, Nathan De Carvalho, and Laurent Tur. Quantitative Finance, 1–29, 2026.
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Approximation and asymptotics in the superhedging problem for binary options, with Sergey Smirnov and Andrey Zanochkin. Annals of Finance, 20(3), 1-38, 2024.
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Proximity of Bachelier and Samuelson Models for Different Metrics, with Sergey Smirnov. Review of Business and Economics Studies, 9(3), 52-76, 2021.
Preprints & Working Papers
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Stochastic control with signatures via Riccati equations on the tensor algebra, with Eduardo Abi Jaber and Elie Attal (2026).
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Affine Structure of the Brownian Signature, with Eduardo Abi Jaber and Elie Attal (2026).
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Malliavin calculus for signatures with applications to finance, with Eduardo Abi Jaber and Clément Rey (2026).
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Efficient Simulation of Hawkes Processes using their Affine Volterra Structure, with Eduardo Abi Jaber and Elie Attal (2025).
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Exponentially Fading Memory Signature, with Eduardo Abi Jaber (2025).