Author Page for Omar El Euch

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Roughening Heston

Risk, pp. 84-89, May 2019.

Number of pages: 12 Posted: 14 Feb 2018 Last Revised: 12 Jun 2019

Omar El Euch, Jim Gatheral and Mathieu Rosenbaum

Ecole Polytechnique, Paris, CUNY Baruch College and Ecole Polytechnique, Palaiseau

Downloads 2,299 (10,430)

Citation 6

Abstract:

Short-Term at-the-Money Asymptotics Under Stochastic Volatility Models

SIAM Journal on Financial Mathematics, Vol. 10, No. 2, 491-511, 2019

Number of pages: 20 Posted: 05 Feb 2018 Last Revised: 12 Jun 2019

Omar El Euch, Masaaki Fukasawa, Jim Gatheral and Mathieu Rosenbaum

Ecole Polytechnique, Paris, Osaka University, CUNY Baruch College and Ecole Polytechnique, Palaiseau

Downloads 239 (205,328)

Citation 8

Abstract:

The Zumbach Effect Under Rough Heston

Quantitative Finance, Vol. 20, No. 2, 235-241, 2020.

Number of pages: 14 Posted: 24 Sep 2018 Last Revised: 09 Jan 2020

Omar El Euch, Jim Gatheral, Rados Radoicic and Mathieu Rosenbaum

Ecole Polytechnique, Paris, CUNY Baruch College, CUNY Baruch College and Ecole Polytechnique, Palaiseau

Downloads 119 (371,928)

Citation 4

Abstract:

Optimal Make-Take Fees for Market Making Regulation

Number of pages: 42 Posted: 22 May 2018 Last Revised: 27 Nov 2019

Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum and Nizar Touzi

Ecole Polytechnique, Paris, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique, Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Paris

Downloads 109 (395,877)

Citation 3

Omar El Euch

Ecole Polytechnique, Paris

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Scholarly Papers (4)

Roughening Heston

Abstract:

Short-Term at-the-Money Asymptotics Under Stochastic Volatility Models

Abstract:

The Zumbach Effect Under Rough Heston

Abstract:

Optimal Make-Take Fees for Market Making Regulation

Abstract: