3 papers
q-fin.MF2026
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…
q-fin.TR2026
Trading with market resistance and concave price impact
Nathan De Carvalho, Youssef Ouazzani Chahdi, Grégoire Szymanski
We consider an optimal trading problem under a market impact model with endogenous market resistance generated by a sophisticated trader who (partially) detects metaorders and trad…
q-fin.MF2025
Fredholm Approach to Nonlinear Propagator Models
Eduardo Abi Jaber, Alessandro Bondi, Nathan De Carvalho +2
We formulate and solve an optimal trading problem with alpha signals, where transactions induce a nonlinear transient price impact described by a general propagator model, includin…