1 citations · 1 across the 6 of their papers we have counts for
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2025★ 1 cited
Martingale property and moment explosions in signature volatility models
Eduardo Abi Jaber, Paul Gassiat, Dimitri Sotnikov
We study the martingale property and moment explosions of a signature volatility model, where the volatility process of the log-price is given by a linear form of the signature of…
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…