Elie Attal

activity

20242026

most citedInterlacing Eigenvectors of Large Gaussian Matrices

2 citations · 2 across the 6 of their papers we have counts for

collaborators

Showing 2025Show all

4 papers · 1 filter

math.PR2025

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…

q-fin.MF2025

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…

math.PR2025

From Hyper Roughness to Jumps as $H \to - 1/2$

Eduardo Abi Jaber, Elie Attal, Mathieu Rosenbaum

We investigate the weak limit of the hyper-rough square-root process as the Hurst index $H$ goes to $- 1/2$ . This limit corresponds to the fractional kernel $t^{H - 1/2}$ losing…

math.PR2025

Eigenvector Overlaps of Random Covariance Matrices and their Submatrices

Elie Attal, Romain Allez

We consider the singular vectors of any $m \times n$ submatrix of a rectangular $M \times N$ Gaussian matrix and study their asymptotic overlaps with those of the full matrix, in t…

Efficient Simulation of Hawkes Processes using their Affine Volterra Structure

Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian

From Hyper Roughness to Jumps as H→−1/2

Eigenvector Overlaps of Random Covariance Matrices and their Submatrices

From Hyper Roughness to Jumps as $H \to - 1/2$