Mathieu Rosenbaum

activity

20122023

most citedOn the universality of the volatility formation process: when machine learning and rough volatility agree

11 citations · 26 across the 11 of their papers we have counts for

collaborators

Showing 2014Show all

2 papers · 1 filter

math.ST2014★ 4 cited

An ${l_{1}, l_{2}, l_{\infty}}$ -Regularization Approach to High-Dimensional Errors-in-variables Models

Alexandre Belloni, Mathieu Rosenbaum, Alexandre B. Tsybakov

Several new estimation methods have been recently proposed for the linear regression model with observation error in the design. Different assumptions on the data generating proces…

math.PR2014

Optimal discretization of hedging strategies with directional views

Jiatu Cai, Masaaki Fukasawa, Mathieu Rosenbaum +1

We consider the hedging error of a derivative due to discrete trading in the presence of a drift in the dynamics of the underlying asset. We suppose that the trader wishes to find…

An {l1​,l2​,l∞​}-Regularization Approach to High-Dimensional Errors-in-variables Models

Optimal discretization of hedging strategies with directional views

An ${l_{1}, l_{2}, l_{\infty}}$ -Regularization Approach to High-Dimensional Errors-in-variables Models