Stochastic analysis and mathematical finance, with focus on
Moment generating functions and Normalized implied volatilities: unification and extension via Fukasawa's pricing formula. With C. Martini
Local volatility from American options. With P. Henry-Labordère.
Study of new rare event simulation schemes and their application to extreme scenario generation. With A. Agarwal, E. Gobet, G. Liu.
Rare event simulation related to financial risks: efficient estimation and sensitivity analysis. With A. Agarwal, E. Gobet, G. Liu.
Shapes of implied volatility with positive mass at zero. With C. Hillairet and A. Jacquier.
Varadhan's estimates, projected diffusions, and local volatilities. With P. Friz.
Two examples of non strictly convex large deviations. With A. Jacquier and P. Roome.
Electronic Communications in Probability, 21(1), p. 1-12, 2016. arXiv.
Linking Vanillas and VIX options: A constrained martingale optimal transport problem. With P. Henry-Labordère.
SIAM Journal on Financial Mathematics, Vol. 6, Issue 1, p. 1171–1194, 2015. journal, local pdf.
On small–noise equations with degenerate limiting system arising from volatility models. With G. Conforti and J-D. Deuschel.
Large Deviations and Asymptotic Methods in Finance, Springer Proceedings in Mathematics and Statistics, Vol. 110, 2015. arXiv.
Rational Shapes of the local volatility surface. With P. Friz and S. Gerhold.
Risk magazine, February 2013, p. 82-87. Available here.
The Term Structure of Implied Volatility in Symmetric Models, with applications to Heston. With C. Martini.
The International Journal of Theoretical and Applied Finance,15(4): 1250026 [27 pages], 2012. journal, ssrn.
Some estimates in extended Stochastic Volatility models of Heston type. With V. Bally.
Risk and Decision Analysis, 2(4): 195-206, 2011. journal, hal.
Smoothness and Asymptotic Estimates of densities for SDEs with locally smooth coefficients and applications to square-root diffusions.
Annals of Applied Probability, 21(4): 1282-1321, 2011. journal, arXiv.
Quasi-Explicit calibration of Gatheral's SVI model. 2009.
Zeliade Systems White Paper #5, available here. With C. Martini.
J'organise (avec Julien Claisse) le GT modèles stochastiques et finance du CMAP. Si vous voulez etre ajouté à la liste de diffusion, écrivez-moi.Until 2015 I was co-organizer of the Parisian Model Validation Seminar, a quarterly seminar bringing together academics and practitioners involved in the theme of model risk / model validation in finance.