Skip to content
Quantitative Regulation

Quantitative Regulation

Analytics and Models for Regulation at CMAP – École Polytechnique

  • About
    • Origin and sponsorship
  • People
    • 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
    • Market microstructure
      • Limit Order Books (LOB)
      • High Frequency Trading
      • Tick Size
    • Regulation
      • Circuit Breakers
    • Hawkes processes
    • Papers, Presentations and Books
    • Other papers
  • Events
  • Journal
  • Blog
  • Twitter
  • Contact Us

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

Archives

  • September 2022
  • February 2021
  • October 2020
  • June 2020
  • May 2020
  • April 2020
  • March 2020
  • December 2019
  • November 2019
  • August 2019
  • June 2019
  • April 2019
  • March 2019
  • February 2019
  • July 2018
  • June 2018
  • May 2018
  • March 2018

Categories

  • Book reviews
  • Circuit breakers
  • Events
  • Interviews
  • Papers
  • People
  • Rough Volatility

Meta

  • Log in
  • Entries feed
  • Comments feed
  • WordPress.org
Privacy & Cookies: This site uses cookies. By continuing to use this website, you agree to their use.
To find out more, including how to control cookies, see here: Cookie Policy

New papers 2021 and 2022

At Risk.net Cutting Edge’s section:

Liquidity stress-testing using optimal portfolio liquidation by Mike Weber, Bastien Baldacci and Iuliia Manziuk

Optimal turnover, liquidity and autocorrelation by Bastien Baldacci, Jerome Benveniste and Gordon Ritter

Deep calibration of the quadratic rough Heston model by Mathieu Rosenbaum and Jianfei Zhang

An approximate solution for options market-making in high dimension by Bastien Baldacci, Joffrey Derchu and Iuliia Manziuk

Posted on 2022-09-292022-09-29Author adminCategories Papers

Post navigation

Previous Previous post: Mathieu Rosenbaum and Jim Gatheral won Quant of the Year – Risk Awards 2021
Proudly powered by WordPress