4 papers
Optimal Portfolio Choice with Cross-Impact Propagators
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann
We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross-impact driven by a matrix-valued Volterra pro…
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…
Volatility models in practice: Rough, Path-dependent or Markovian?
Eduardo Abi Jaber, Shaun, Li
We present an empirical study examining several claims related to option prices in rough volatility literature using SPX options data. Our results show that rough volatility models…
Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints
Eduardo Abi Jaber, Camille Illand, Shaun +1
We consider the joint SPX-VIX calibration within a general class of Gaussian polynomial volatility models in which the volatility of the SPX is assumed to be a polynomial function…