4 citations · 11 across the 4 of their papers we have counts for
5 papers
Optimal Liquidation with Signals: the General Propagator Case
Eduardo Abi Jaber, Eyal Neuman
We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra-type propagator along with temporary price imp…
The characteristic function of Gaussian stochastic volatility models: an analytic expression
Eduardo Abi Jaber
Stochastic volatility models based on Gaussian processes, like fractional Brownian motion, are able to reproduce important stylized facts of financial markets such as rich autocorr…
The Laplace transform of the integrated Volterra Wishart process
Eduardo Abi Jaber
We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The…
Affine Volterra processes
Eduardo Abi Jaber, Martin Larsson, Sergio Pulido
We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions constitute a special…
Stochastic invariance of closed sets with non-Lipschitz coefficients
Eduardo Abi Jaber, Bruno Bouchard, Camille Illand +1
This paper provides a new characterization of the stochastic invariance of a closed subset of R^d with respect to a diffusion. We extend the well-known inward pointing Stratonovich…