3 citations · 4 across the 4 of their papers we have counts for
6 papers
A characterisation of cross-impact kernels
Mathieu Rosenbaum, Mehdi Tomas
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact model…
Cross impact in derivative markets
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial i…
How to build a cross-impact model from first principles: Theoretical requirements and empirical results
Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact. To be of use, cross-impact models must fit data and be well-behaved s…
From microscopic price dynamics to multidimensional rough volatility models
Mehdi Tomas, Mathieu Rosenbaum
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility m…
On deep calibration of (rough) stochastic volatility models
Christian Bayer, Blanka Horvath, Aitor Muguruza +2
Techniques from deep learning play a more and more important role for the important task of calibration of financial models. The pioneering paper by Hernandez [Risk, 2017] was a ca…
Deep Learning Volatility
Blanka Horvath, Aitor Muguruza, Mehdi Tomas
We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consiste…