Palaiseau
France
Ecole Polytechnique, Palaiseau
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Momentum risk premium, trend-following strategy, cross-section momentum, time-series momentum, alternative risk premium, market anomaly, diversification, correlation, payoff, trading impact, hedging, skewness, Gaussian quadratic forms, Kalman filter, EWMA
No-arbitrage property, market impact, rough volatility, rough Heston model, hyper-rough Heston model, Hawkes processes
SPX smiles, VIX smiles, rough Heston model, Zumbach effect, quadratic rough Heston model, Guyon's conjecture
Microstructure, Market Design, Auctions, Limit Order Book, Continuous Trading, Market Making, Nash Equilibrium, BSDES
