2 papers
q-fin.MF2025
Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
Eduardo Abi Jaber, Soukaïna Bruneau, Nathan De Carvalho +2
In energy markets, joint historical and implied calibration is of paramount importance for practitioners, yet notoriously challenging due to the need to align historical correlatio…
math.OC2024
Trading with propagators and constraints: applications to optimal execution and battery storage
Eduardo Abi Jaber, Nathan De Carvalho, Huyên Pham
Motivated by optimal execution with stochastic signals, market impact and constraints in financial markets, and optimal storage management in commodity markets, we formulate and so…