no code implementations • 19 Jul 2021 • Mathieu Rosenbaum, Mehdi Tomas
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact.
no code implementations • 4 Feb 2021 • Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact.
no code implementations • 3 Apr 2020 • Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen
Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact.
no code implementations • 18 Oct 2019 • Mehdi Tomas, Mathieu Rosenbaum
Rough volatility is a well-established statistical stylised fact of financial assets.
2 code implementations • 28 Jan 2019 • Blanka Horvath, Aitor Muguruza, Mehdi Tomas
We present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface.
Mathematical Finance
