Mehdi is a PhD student at École Polytechnique working on:
- multi asset market impact
- order book modeling.
He holds a Master’s in Mathematical Finance from Imperial College and a Master’s in Engineering from École Centrale Paris, and previously worked on FX options at HSBC. He won (with Blanka Horvath and Aitor Muguruza) the 2020 Rising Stars award from Risk Magazine.
Papers:
- Deep Learning Volatility with Blanka Horvath and Aitor Muguruza
- How to build a cross-impact model from first principles: Theoretical requirements and empirical results with Iacopo Mastromatteo and Michael Benzaquen
- From microscopic price dynamics to multidimensional rough volatility models with Mathieu Rosenbaum