Paul Jusselin finished his PhD at École Polytechnique, working on:
- Market microstructure theory
- Market efficiency
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 in applied mathematics at Ecole Normale Supérieure de
Cachan.
Papers:
- The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem with Jim Gatheral and Mathieu Rosenbaum
- From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect with Aditi Dandapani and Mathieu Rosenbaum
- Optimal auction duration: A price formation viewpoint with Thibaut Mastrolia and Mathieu Rosenbaum
- No-arbitrage implies power-law market impact and rough volatility with Mathieu Rosenbaum, published in Mathematical Finance Vol 30 Issue 4
- Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies
- How to design a derivatives market? with Bastien Baldacci and Mathieu Rosenbaum
- Optimal market making with persistent order flow, published in SIAM Journal on Financial Mathematics Volume 12, Issue 3