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
   Data Science: Reinforcement Learning, Deep Learning

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


BOOK

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.

Preprints
    [PDF] Large and moderate deviations for stochastic Volterra systems (with A. Pannier), April 2020
    [PDF] Deep PPDEs for rough local stochastic volatility (with M. Oumgari), February 2020
    [PDF] Path-dependent volatility models (with C. Lacombe), January 2020
    [PDF] On the uniqueness of solutions of stochastic Volterra equations (with A. Pannier), December 2019
    [PDF] A Quantum algorithm for linear PDEs arising in Finance (with F. Fontanella and M. Oumgari), December 2019
    [PDF] Perturbation analysis of sub/super hedging problems (with S. Badikov and M.H.A. Davis), November 2019
    [PDF] Dynamics of symmetric SSVI smiles and implied volatility bubbles (with M. El Amrani and C. Martini), September 2019
    [PDF] Anomalous diffusions in option prices: connecting trade duration and the volatility term structure (with L. Torricelli), August 2019
    [PDF] Stacked Monte Carlo for option pricing (with E.R. Malone and M. Oumgari), March 2019
    [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

Forthcoming Publications
    [PDF] Volatility options in rough volatility models. (with B. Horvath and P. Tankov). SIFIN.
    [PDF] Small-time moderate deviations for the randomised Heston model (with F. Shi). Journal of Applied Probability
    [PDF] Pathwise moderate deviations for option pricing (with K. Spiliopoulos). Mathematical Finance

Publications
    [PDF] Asymptotic behaviour of randomised fractional volatility models (with B. Horvath and C. Lacombe). Journal of Applied Probability, 56(2): 496-523, 2019
    [PDF] The randomised Heston model (with F. Shi). SIFIN, 10(1), 89-129, 2019.
    [PDF] The implied volatility of Forward-Start options: ATM short-time level, skew and curvature. (with E. Alos and J.A. Leon). Stochastics, 91(1): 37-51, 2019.

    [PDF] Mass at zero in the uncorrelated SABR model (with A. Gulisashvili and B. Horvath). Quantitative Finance, 18(10): 1753-1765, 2018.
    [PDF] Pathwise large deviations for the Rough Bergomi model (with M.S. Pakkanen and H. Stone). Journal of Applied Probability, 55(4): 1078-1092, 2018.
    [PDF] Asymptotic behaviour of the fractional Heston model. (with H. Guennoun, P. Roome and F. Shi). SIFIN, 9(3), 1017-1045, 2018.
    [PDF] Optimal liquidation in a Level-I limit order book for large tick stocks (with H. Liu). SIFIN, 9(3), 875-906, 2018.
    [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