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Quantitative Regulation

Quantitative Regulation

Analytics and Models for Regulation at CMAP – École Polytechnique

  • About
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    • Mathieu Rosenbaum
    • Charles-Albert Lehalle
    • Alexandre Laumonier
    • Marcos Carreira
    • Bastien Baldacci
    • Aditi Dandapani
    • Joffrey Derchu
    • Omar El Euch
    • Antoine Fosset
    • Paul Jusselin
    • Iuliia Manziuk
    • Othmane Mounjid
    • Pamela Saliba
    • Emel Savku
    • Mehdi Tomas
  • Associate researchers and collaborators
  • Research
    • Volatility
      • High-frequency volatility
      • Rough volatility
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      • Limit Order Books (LOB)
      • High Frequency Trading
      • Tick Size
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Recent Posts

  • New papers 2021 and 2022
  • Mathieu Rosenbaum and Jim Gatheral won Quant of the Year – Risk Awards 2021
  • Bastien Baldacci and Iuliia Manziuk win Rising Star in Quant Finance – Risk Awards 2021
  • New papers – 2nd half of 2020
  • A note on Almgren-Chriss optimal execution problem with geometric Brownian motion

Recent Comments

  • Solving the enigma of volatility smiles – Quantitative Regulation on The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem

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A soft introduction to rough volatility

A brief introduction to Rough Volatility, published on the QuantMinds blog:

A soft introduction to rough volatility

Posted on 2018-06-12Author adminCategories Rough Volatility

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