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Quantitative Regulation

Analytics and Models for Regulation at CMAP – École Polytechnique

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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

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Solving the enigma of volatility smiles – Quantitative Regulation on The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem

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