Omar El Euch got his PhD at École Polytechnique in 2018, where he worked on:
- Rough Volatility
- The connection between micro/macro scales
- Maker/Taker fees
He has a Master 2 degree (M2) in Probabilities and Finance from University Paris 6 and École Polytechnique (El Karoui master program) and an undergrad at École Polytechnique (Applied Mathematics Program). He is also studying at the Corps des Mines, the foremost of the technical Grand Corps of the French State.
He won (with Eduardo Abi Jaber) the 2018 Bachelier Finance Society Junior Scholar Award for their paper Multi-factor approximation of rough volatility models.
Papers:
- The Zumbach effect under rough Heston (with J. Gatheral, R. Radoičić and M. Rosenbaum)
- Optimal make-take fees for market making regulation (with T. Mastrolia, M. Rosenbaum, N. Touzi) published in Mathematical Finance Vol 31 Issue 1
- Markovian structure of the Volterra Heston model (with E. A. Jaber)
- Multi-factor approximation of rough volatility models (with E. A. Jaber)
- Short-term at-the-money asymptotics under stochastic volatility models (with M. Fukusawa, J. Gatheral and M. Rosenbaum)
- Perfect hedging in rough Heston models (with M. Rosenbaum)
- The microstructural foundations of leverage effect and rough volatility (with M. Fukusawa and M. Rosenbaum), to appear in Finance and Stochastics
- The characteristic function of rough Heston models (with M. Rosenbaum), to appear in Mathematical Finance