Sofiene El Aoud

Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems

Grande Voie des Vignes

Châtenay-Malabry CEDEX, 92290

France

  • Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems

SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

On the Joint Dynamics of the Spot and the Implied Volatility Surface

Number of pages: 20 Posted: 16 Sep 2014 Last Revised: 09 Dec 2014
Sofiene El Aoud and Frederic Abergel
Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems and BNP Paribas Asset Management
Downloads 1,020 (41,197)

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2.

A Stochastic Control Approach for Option Market Making

Number of pages: 40 Posted: 04 Sep 2014 Last Revised: 23 May 2015
Sofiene El Aoud and Frederic Abergel
Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems and BNP Paribas Asset Management
Downloads 425 (127,125)
Citation 2

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High frequency Market Making, Stochastic optimal control, Utility maximization, Mean-variance framework

3.

Calibration of a Stock's Beta Using Options Prices

Number of pages: 36 Posted: 23 Apr 2014 Last Revised: 20 Nov 2014
Sofiene El Aoud and Frederic Abergel
Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems and BNP Paribas Asset Management
Downloads 255 (219,876)

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CAPM model, stochastic volatility, options pricing, parameters calibration

4.

Performance Analysis of the Optimal Strategy Under Partial Information

Number of pages: 20 Posted: 13 Oct 2015
Ahmed Bel Hadj Ayed, Ahmed Bel Hadj Ayed, Gregoire Loeper, Sofiene El Aoud and Frederic Abergel
BNP ParibasEcole Centrale Paris - Laboratory of Mathematics Applied to Systems, BNP Paribas, Ecole Centrale Paris - Laboratory of Mathematics Applied to Systems and BNP Paribas Asset Management
Downloads 113 (442,360)
Citation 3

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Optimal trading strategy, Kalman filter, Sharpe ratio, partial observations