3 citations · 5 across the 24 of their papers we have counts for
10 papers · 1 filter
Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian
Eduardo Abi Jaber, Elie Attal
We introduce a novel simulation scheme, iVi (integrated Volterra implicit), for integrated Volterra square-root processes and Volterra Heston models based on the Inverse Gaussian d…
Fredholm Approach to Nonlinear Propagator Models
Eduardo Abi Jaber, Alessandro Bondi, Nathan De Carvalho +2
We formulate and solve an optimal trading problem with alpha signals, where transactions induce a nonlinear transient price impact described by a general propagator model, includin…
Martingale property and moment explosions in signature volatility models
Eduardo Abi Jaber, Paul Gassiat, Dimitri Sotnikov
We study the martingale property and moment explosions of a signature volatility model, where the volatility process of the log-price is given by a linear form of the signature of…
Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX
Eduardo Abi Jaber, Shaun, Li
We introduce the two-factor Quintic Ornstein-Uhlenbeck (OU) model, where volatility is modelled as a degree-five polynomial of the sum of two Ornstein-Uhlenbeck processes driven by…
Complex discontinuities of the square root of Fredholm determinants in the Volterra Stein-Stein model
Eduardo Abi Jaber, Maxime Guellil
Fourier-based methods are central to option pricing and hedging when the Fourier-Laplace transform of the log-price and integrated variance is available semi-explicitly. This is th…
The Volterra Stein-Stein model with stochastic interest rates
Eduardo Abi Jaber, Donatien Hainaut, Edouard Motte
We introduce the Volterra Stein-Stein model with stochastic interest rates, where both volatility and interest rates are driven by correlated Gaussian Volterra processes. This fram…