Thibault Jaisson

Pictet Asset Management

Geneva

Switzerland

  • Pictet Asset Management

SCHOLARLY PAPERS

2

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SSRN CITATIONS
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Top 29,019

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16

CROSSREF CITATIONS

14

Scholarly Papers (2)

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1.

Volatility Is Rough

Quantitative Finance, Vol. 18, No. 6, 933-949, 2018.
Number of pages: 50 Posted: 15 Oct 2014 Last Revised: 25 May 2018
Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
CUNY Baruch College, Pictet Asset Management and Ecole Polytechnique, Palaiseau
Downloads 2,195 (9,386)
Citation 42

Abstract:

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High frequency data, volatility smoothness, fractional Brownian motion, fractional Ornstein-Uhlenbeck, long memory, volatility persistence, volatility forecasting, option pricing, volatility surface, Hawkes processes, high frequency trading, order splitting.

2.

The Predictive Power of Analysts and Their Impact on Prices

Number of pages: 14 Posted: 21 Jan 2022
Thibault Jaisson, Laurent Nguyen, Reda Jürg Messikh and Gabriele Susinno
Pictet Asset Management, Pictet Asset Management, Pictet Asset Management SA and Pictet Asset Management
Downloads 260 (161,314)

Abstract:

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Sell side analysts, Recommendations, Price impact, Graphical modeling, Analysts Strength