Journal Articles (Published & Accepted)
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Martingale property and moment explosions in signature volatility models, with Eduardo Abi Jaber and Paul Gassiat (2025). Finance and Stochastics, to appear.
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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 (2025). Quantitative Finance, to appear.
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Approximation and asymptotics in the superhedging problem for binary options, with Sergey Smirnov and Andrey Zanochkin (2024). Annals of Finance, 20(3), 1-38.
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Proximity of Bachelier and Samuelson Models for Different Metrics, with Sergey Smirnov (2021). Review of Business and Economics Studies, 9(3), 52-76.
Preprints & Working Papers
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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).