4 papers
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…
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…
Eigenvector Overlaps of Random Covariance Matrices and their Submatrices
Elie Attal, Romain Allez
We consider the singular vectors of any submatrix of a rectangular Gaussian matrix and study their asymptotic overlaps with those of the full matrix, in t…
Interlacing Eigenvectors of Large Gaussian Matrices
Elie Attal, Romain Allez
We consider the eigenvectors of the principal minor of dimension of the Dyson Brownian motion in and investigate their asymptotic overlaps with the eigenvec…