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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
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  • 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

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Research

  • Volatility
    • High-frequency volatility
    • Rough volatility
  • Market microstructure
    • Limit Order Books (LOB)
    • High Frequency Trading
    • Tick Size
  • Regulation and its effects
    • Circuit breakers
  • Hawkes processes

Papers, Presentations and Books

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