Omar El Euch

Ecole Polytechnique, Paris

1 rue Descartes

Paris, 75005

France

SCHOLARLY PAPERS

5

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2,209

SSRN CITATIONS
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Top 36,718

in Total Papers Citations

17

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

Roughening Heston

Risk, pp. 84-89, May 2019.
Number of pages: 12 Posted: 14 Feb 2018 Last Revised: 12 Jun 2019
Omar El Euch, Jim Gatheral and Mathieu Rosenbaum
Ecole Polytechnique, Paris, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 1,863 (12,267)
Citation 6

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2.

Short-Term at-the-Money Asymptotics Under Stochastic Volatility Models

SIAM Journal on Financial Mathematics, Vol. 10, No. 2, 491-511, 2019
Number of pages: 20 Posted: 05 Feb 2018 Last Revised: 12 Jun 2019
Ecole Polytechnique, Paris, Osaka University, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 183 (223,227)
Citation 5

Abstract:

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3.

Optimal Make-Take Fees for Market Making Regulation

Number of pages: 42 Posted: 22 May 2018 Last Revised: 27 Nov 2019
Ecole Polytechnique, Paris, Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique, Ecole Polytechnique, Palaiseau and Ecole Polytechnique, Paris
Downloads 88 (383,549)
Citation 3

Abstract:

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Make-take fees, market making, financial regulation, high-frequency trading, principal-agent problem, stochastic control

4.

The Zumbach Effect Under Rough Heston

Quantitative Finance, Vol. 20, No. 2, 235-241, 2020.
Number of pages: 14 Posted: 24 Sep 2018 Last Revised: 09 Jan 2020
Ecole Polytechnique, Paris, CUNY Baruch College, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 71 (433,636)
Citation 3

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Zumbach Effect, Rough Heston Model

5.

The Characteristic Function of Rough Heston Models

Mathematical Finance, Vol. 29, Issue 1, pp. 3-38, 2019
Number of pages: 36 Posted: 11 Jan 2019
Omar El Euch and Mathieu Rosenbaum
Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau
Downloads 4 (821,207)
Citation 8

Abstract:

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fractional Brownian motion, fractional Riccati equation, Hawkes processes, limit theorems, rough Heston models, rough volatility models