10 citations · 33 across the 20 of their papers we have counts for
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math.PR2017
Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint
Eyal Neuman, Mathieu Rosenbaum
Rough volatility models are becoming increasingly popular in quantitative finance. In this framework, one considers that the behavior of the log-volatility process of a financial a…
q-fin.TR2017★ 4 cited
Incorporating Signals into Optimal Trading
Charles-Albert Lehalle, Eyal Neuman
Optimal trading is a recent field of research which was initiated by Almgren, Chriss, Bertsimas and Lo in the late 90's. Its main application is slicing large trading orders, in th…
math.PR2017
On Uniqueness and Blowup Properties for a Class of Second Order SDEs
Alejandro Gomez, Jong Jun Lee, Carl Mueller +2
As the first step for approaching the uniqueness and blowup properties of the solutions of the stochastic wave equations with multiplicative noise, we analyze the conditions for th…