2 papers
math.OC2022
Gaussian Agency problems with memory and Linear Contracts
Eduardo Abi Jaber, Stéphane Villeneuve
Can a principal still offer optimal dynamic contracts that are linear in end-of-period outcomes when the agent controls a process that exhibits memory? We provide a positive answer…
q-fin.CP2018
Lifting the Heston model
Eduardo Abi Jaber
How to reconcile the classical Heston model with its rough counterpart? We introduce a lifted version of the Heston model with n multi-factors, sharing the same Brownian motion but…