Mehdi Tomas

Ecole Polytechnique

Route de Saclay

Palaiseau, 91128

France

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 18,068

in Total Papers Downloads

3,184

SSRN CITATIONS
Rank 34,111

SSRN RANKINGS

Top 34,111

in Total Papers Citations

15

CROSSREF CITATIONS

8

Scholarly Papers (3)

1.

Deep Learning Volatility

Number of pages: 41 Posted: 07 Feb 2019 Last Revised: 28 Feb 2019
Blanka Horvath, Aitor Muguruza and Mehdi Tomas
ETH Z├╝rich - Department of Mathematics, Imperial College London and Ecole Polytechnique
Downloads 2,853 (4,949)
Citation 23

Abstract:

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Rough volatility, volatility modelling, Volterra process, machine learning, accurate price approximation, calibration, model assessment, Monte Carlo

2.

How to Build a Cross-Impact Model from First Principles: Theoretical Requirements and Empirical Results

Number of pages: 24 Posted: 29 Apr 2020 Last Revised: 04 Feb 2021
Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 238 (150,694)
Citation 2

Abstract:

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3.

Cross Impact in Derivative Markets

Number of pages: 17 Posted: 18 Feb 2021
Ecole Polytechnique, Capital Fund Management and Ecole Polytechnique, Palaiseau
Downloads 93 (322,720)

Abstract:

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