E. A. Jaber

activity

20182026

most citedMartingale property and moment explosions in signature volatility models

1 citations · 1 across the 20 of their papers we have counts for

collaborators

Showing 2025 · math.PRShow all

3 papers · 2 filters

math.PR2025

Efficient Simulation of Hawkes Processes using their Affine Volterra Structure

Eduardo Abi Jaber, Elie Attal, Dimitri Sotnikov

We introduce a novel and efficient simulation scheme for Hawkes processes on a fixed time grid, leveraging their affine Volterra structure. The key idea is to first simulate the in…

math.PR2025

Exponentially Fading Memory Signature

Eduardo Abi Jaber, Dimitri Sotnikov

We introduce the exponentially fading memory (EFM) signature, a time-invariant transformation of an infinite (possibly rough) path that serves as a mean-reverting analogue of the c…

math.PR2025

From Hyper Roughness to Jumps as $H \to - 1/2$

Eduardo Abi Jaber, Elie Attal, Mathieu Rosenbaum

We investigate the weak limit of the hyper-rough square-root process as the Hurst index $H$ goes to $- 1/2$ . This limit corresponds to the fractional kernel $t^{H - 1/2}$ losing…

Efficient Simulation of Hawkes Processes using their Affine Volterra Structure

Exponentially Fading Memory Signature

From Hyper Roughness to Jumps as H→−1/2

From Hyper Roughness to Jumps as $H \to - 1/2$