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Omar El Euch · Study
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Author
Omar El Euch
10 works
· latest 2019
· 2 institutions
cluster: provisional
ORCID 0000-0001-7107-8946
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Citations
965
Works here
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Most cited in this library
The characteristic function of rough Heston models
2019 · 305 citations
The microstructural foundations of leverage effect and rough volatility
2018 · 154 citations
Multifactor Approximation of Rough Volatility Models
2019 · 139 citations
Perfect hedging in rough Heston models
2018 · 138 citations
Markovian structure of the Volterra Heston model
2018 · 64 citations
Works
10 shown
The Zumbach effect under rough Heston
Quantitative Finance
·
2019
·
4 authors
·
Open access
24
citations
The characteristic function of rough Heston models
HAL
·
2019
·
2 authors
305
citations
Multifactor Approximation of Rough Volatility Models
SIAM Journal on Financial Mathematics
·
2019
·
2 authors
·
Open access
139
citations
Perfect hedging in rough Heston models
The Annals of Applied Probability
·
2018
·
2 authors
·
Open access
138
citations
The microstructural foundations of leverage effect and rough volatility
Finance and Stochastics
·
2018
·
3 authors
·
Open access
154
citations
Markovian structure of the Volterra Heston model
HAL
·
2018
·
2 authors
·
Open access
64
citations
The characteristic function of rough Heston models
Mathematical Finance
·
2018
·
2 authors
·
Open access
25
citations
Optimal Make-Take Fees for Market Making Regulation
Mathematical Finance
·
2018
·
4 authors
·
Open access
45
citations
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
SIAM Journal on Financial Mathematics
·
2018
·
4 authors
·
Open access
44
citations
Roughening Heston
SSRN Electronic Journal
·
2018
·
3 authors
·
preprint
·
Open access
27
citations