Research Interests
   Probability: Large deviations theory, Saddlepoint methods, Heat kernel expansions, Laplace methods on Wiener space.
   Mathematical Finance: Stochastic volatility models, Local volatility models, Smile asymptotics, Calibration.

Some of the papers below are available on my arxiv webpage or my ssrn webpage.

    Large Deviations and Asymptotic Methods in Finance
    (with Peter Friz, Jim Gatheral, Archil Gulisashvili and Josef Teichmann)
    Springer Proceedings in Mathematics and Statistics, Volume 110, 2015.

    [PDF] Perturbation analysis of sub/super hedging problems. (with S. Badikov and M.H.A. Davis), June 2018
    [PDF] Pathwise moderate deviations for option pricing. (with K. Spiliopoulos), March 2018
    [PDF] Volatility options in rough volatility models. (with B. Horvath and P. Tankov), February 2018
    [PDF] Functional central limit theorems for rough volatility. (with B. Horvath and A. Muguruza), November 2017
    [PDF] How many paths to simulate correlated Brownian motions? (with L. Jeannerod), August 2017
    [PDF] Asymptotic behaviour of randomised fractional volatility models (with B. Horvath and C. Lacombe), August 2017
    [PDF] Pathwise large deviations for the Rough Bergomi model (with M.S. Pakkanen and H. Stone), January 2018
    [PDF] The randomised Heston model (with F. Shi), August 2016

Forthcoming Publications
    [PDF] Asymptotic behaviour of the fractional Heston model. (with H. Guennoun, P. Roome and F. Shi). SIFIN
    [PDF] The implied volatility of Forward-Start options: ATM short-time level, skew and curvature. (with E. Alos and J.A. Leon). Stochastics
    [PDF] Optimal liquidation in a Level-I limit order book for large tick stocks (with H. Liu). SIFIN
    [PDF] Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (with A. Gulisashvili and B. Horvath). Quantitative Finance

    [PDF] Black-Scholes in a CEV random environment (with P. Roome). Mathematics and Financial Economics, 12(3), 445-474, 2018.
    [PDF] Implied volatility in strict local martingale models (with M. Keller-Ressel). SIFIN, 9(1): 171-189, 2018.
    [PDF] On VIX Futures in the rough Bergomi model (with C. Martini and A. Muguruza). Quantitative Finance, 18(1): 45-61, 2018

    [PDF] Shapes of implied volatility with positive mass at zero (with S. De Marco and C. Hillairet). SIFIN, 8(1): 709-737, 2017
    [PDF] No-arbitrage bounds for the forward smile given marginals (with S. Badikov, D. Liu and P. Roome). Quantitative Finance 17(8): 1243-1256, 2017

    [PDF] An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs (with J.F. Chassagneux and I. Mihaylov). SIFIN, 7(1), 2016
    [PDF] On the probability of hitting the boundary of a Brownian motion on the SABR plane (with A. Gulisashvili and B. Horvath). ECP, 21(75): 1-13, 2016
    [PDF] Large-maturity regimes of the Heston forward smile (with P. Roome). Stochastic Processes and Applications, 126(4): 1087-1123, 2016
    [PDF] Generalised arbitrage-free SVI volatility surfaces (with G. Guo, C. Martini and L. Neufcourt). SIFIN, 7(1), 619-641, 2016
    [PDF] Two examples of non strictly convex large deviations (with S. De Marco and P. Roome). Electronic Communications in Probability, 16(38): 1-12, 2016

    [PDF] From characteristic functions to implied volatility expansions (with M. Lorig). Advances in Applied Probability, 47(3): 837-857, 2015
    [PDF] Asymptotic arbitrage in the Heston model (with F. Haba). IJTAF, 18(8), 2015
    [PDF] Asymptotics of forward implied volatility (with P. Roome). SIFIN, 6(1): 307-351, 2015

    [PDF] Arbitrage-free SVI volatility surfaces (with J. Gatheral). Quantitative Finance, 14(1): 59-71, 2014
    [PDF] Large deviations for the extended Heston model: the large-time case (with A. Mijatović). Asia-Pacific Financial Markets, 21(3): 263-280, 2014
    [PDF] Marginal density expansions for diffusions and stochastic volatility, Part II: Applications (with J.D. Deuschel, P.K. Friz and S. Violante).
              Communications on Pure and Applied Mathematics, 67(2): 321-350, 2014
    [PDF] Marginal density expansions for diffusions and stochastic volatility, Part I: Theoretical foundations (with J.D. Deuschel, P.K. Friz and S. Violante).
              Communications on Pure and Applied Mathematics 67 (1): 40-82, 2014

    [PDF] The Smile of certain Lévy-type Models (with M. Lorig). SIFIN, 4(1): 804-830, 2013
    [PDF] The small-maturity Heston forward smile (with P. Roome). SIFIN, 4(1): 831-856, 2013
    [PDF] Large deviations and stochastic volatility with jumps (with M. Keller-Ressel and A. Mijatović). Stochastics, 85(2): 321-345, 2013

    [PDF] The small-time smile and term structure of implied volatility under the Heston model (with M. Forde and R. Lee). SIFIN 3(1): 690-708, 2012

    [PDF] (extended version) A note on essential smoothness in the Heston model (with M. Forde and A. Mijatović), Finance & Stochastics, 15 (4): 781-784, 2011
    [PDF] Small-time asymptotics for an uncorrelated local-stochastic volatility model (with M. Forde), Applied Mathematical Finance, 18 (6): 517-535, 2011
    [PDF] Convergence of Heston to SVI (with J. Gatheral), Quantitative Finance 11 (8): 1129-1132, 2011
    [PDF] The large-maturity smile for the Heston model (with M. Forde), Finance & Stochastics, 15 (4): 755-780, 2011

    [PDF] Asymptotic formulae for implied volatility under the Heston model (with M. Forde and A. Mijatović), PRSA, 466 (2124): 3593-3620, 2010
    [PDF] Robust approximations for pricing Asian options and volatility swaps under stochastic volatility (with M. Forde), Applied Math Fin, 17 (3): 241-259, 2010
    [PDF] The uncertain volatility model (with C. Martini), Encyclopedia of Quantitative Finance, 2010

    [PDF] Small-time asymptotics for implied volatility under the Heston model (with M. Forde), IJTAF, 12 (6): 861-876, 2009

Other works
    [PDF] The large-time smile and skew for exponential Lévy model (with M. Forde and J. Figueroa-López), revised version, October 2011
    [------] Variance dispersion and correlation swaps (with S. Slaoui), 2010
    [PDF] Heston 2010 (with C. Martini), White Paper, Zeliade Systems, 2011
    [------] Implied volatility asymptotics under affine stochastic volatility models, PhD thesis, Imperial College London, 2010
    [------] Heston 2009 (with Claude Martini), White Paper, Zeliade Systems, 2010
    [PDF] A numerical approach to spectral risk measures, Preprint, University of Evry, 2008
    [PDF] Asymptotic skew under stochastic volatility, Working Paper, Birkbeck College, University of London, 2007
    [------] Early warning systems on credit portfolio, Actuarial thesis, Société Générale, New York, 2006
    [------] Pricing and hedging variance and volatility swaps, MSc. thesis, Universite Paris X, France, 2005