5 citations · 7 across the 4 of their papers we have counts for
7 papers
Optimal market making with persistent order flow
Paul Jusselin
\noindent We address the issue of market making on electronic markets when taking into account the clustering and long memory properties of market order flows. We consider a market…
The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem
Jim Gatheral, Paul Jusselin, Mathieu Rosenbaum
Fitting simultaneously SPX and VIX smiles is known to be one of the most challenging problems in volatility modeling. A long-standing conjecture due to Julien Guyon is that it may…
Scaling limit for stochastic control problems in population dynamics
Paul Jusselin, Thibaut Mastrolia
Going from a scaling approach for birth/death processes, we investigate the scaling limit of solutions to non-Markovian stochastic control problems by studying the convergence of s…
How to design a derivatives market?
Bastien Baldacci, Paul Jusselin, Mathieu Rosenbaum
We consider the problem of designing a derivatives exchange aiming at addressing clients needs in terms of listed options and providing suitable liquidity. We proceed into two step…
From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
Aditi Dandapani, Paul Jusselin, Mathieu Rosenbaum
Using microscopic price models based on Hawkes processes, it has been shown that under some no-arbitrage condition, the high degree of endogeneity of markets together with the phen…
Optimal auction duration: A price formation viewpoint
Paul Jusselin, Thibaut Mastrolia, Mathieu Rosenbaum
We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of t…
No-arbitrage implies power-law market impact and rough volatility
Paul Jusselin, Mathieu Rosenbaum
Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that under no-arbitrage assumption, the mar…