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1. Volatility models in practice: Rough, Path-dependent or Markovian?. (2025). , Shaun ; Jaber, Eduardo Abi.
   In: Papers.
   RePEc:arx:papers:2401.03345.

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2. Reconciling rough volatility with jumps. (2024). de Carvalho, Nathan ; Jaber, Eduardo Abi.
   In: Post-Print.
   RePEc:hal:journl:hal-04295416.

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3. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi.
   In: Post-Print.
   RePEc:hal:journl:hal-03902513.

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4. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). Jaber, Eduardo Abi ; Li, Shaun Xiaoyuan ; Illand, Camille.
   In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
   RePEc:hal:cesptp:hal-03902513.

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5. Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations. (2024). Hamaguchi, Yushi.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:178:y:2024:i:c:s0304414924001881.

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6. Measure-valued affine and polynomial diffusions. (2024). Svaluto-Ferro, Sara ; di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa.
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:175:y:2024:i:c:s030441492400098x.

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7. Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376.

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8. Generalized divergences for statistical evaluation of uncertainty in long-memory processes. (2024). Yoshioka, Yumi.
   In: Chaos, Solitons & Fractals.
   RePEc:eee:chsofr:v:182:y:2024:i:c:s0960077924001784.

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9. Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures. (2024). Zhang, Rouyi ; Xu, Wei ; Horst, Ulrich.
   In: Papers.
   RePEc:arx:papers:2412.16436.

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10. The Fourier Cosine Method for Discrete Probability Distributions. (2024). Liu, Chengguang ; Fang, Fang ; Shen, Xiaoyu.
    In: Papers.
    RePEc:arx:papers:2410.04487.

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11. Reconciling rough volatility with jumps. (2024). de Carvalho, Nathan ; Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:2303.07222.

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12. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2024). , Shaun ; Jaber, Eduardo Abi ; Illand, Camille.
    In: Papers.
    RePEc:arx:papers:2212.08297.

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13. The Laplace transform of the integrated Volterra Wishart process. (2024). Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:1911.07719.

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14. Ramifications of generalized Feller theory. (2023). Mollmann, Tonio ; Teichmann, Josef ; Cuchiero, Christa.
    In: Papers.
    RePEc:arx:papers:2308.03858.

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15. A fractional Hawkes process for illiquidity modeling. (2023). Dupret, Jean-Loup ; Hainaut, Donatien.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2023001.

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16. The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00489-4.

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17. Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Jaber, Eduardo Abi ; Illand, Camille.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03902513.

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18. American options in the Volterra Heston model. (2022). Zuiga, Elizabeth ; Pulido, Sergio ; Chevalier, Etienne.
    In: Post-Print.
    RePEc:hal:journl:hal-03178306.

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19. The Laplace transform of the integrated Volterra Wishart process. (2022). Jaber, Eduardo Abi.
    In: Post-Print.
    RePEc:hal:journl:hal-02367200.

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20. The Laplace transform of the integrated Volterra Wishart process. (2022). Jaber, Eduardo Abi.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-02367200.

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21. Inhomogeneous affine Volterra processes. (2022). Kruse, Thomas ; Overbeck, Ludger ; Ackermann, Julia.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:150:y:2022:i:c:p:250-279.

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22. The Laplace transform of the integrated Volterra Wishart process. (2022). Jaber, Eduardo Abi.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:32:y:2022:i:1:p:309-348.

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23. Delta family approach for the stochastic control problems of utility maximization. (2022). Cui, Zhenyu ; Lu, Zhengyang ; Ma, Jingtang.
    In: Papers.
    RePEc:arx:papers:2202.12745.

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24. Deep calibration of the quadratic rough Heston model. (2022). Rosenbaum, Mathieu ; Zhang, Jianfei.
    In: Papers.
    RePEc:arx:papers:2107.01611.

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25. American options in the Volterra Heston model. (2022). Pulido, Sergio ; Chevalier, Etienne.
    In: Papers.
    RePEc:arx:papers:2103.11734.

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26. Discrete variance swap in a rough volatility economy. (2021). Ru, YI ; Wong, Hoi Ying.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1640-1654.

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27. Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03230167.

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28. American options in the Volterra Heston model. (2021). Pulido, Sergio ; Chevalier, Etienne ; Zuiga, Elizabeth.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03178306.

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29. Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels. (2021). Jaber, Eduardo Abi.
    In: Post-Print.
    RePEc:hal:journl:hal-02412741.

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30. Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels. (2021). Jaber, Eduardo Abi.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:hal-02412741.

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31. On Multilevel and Control Variate Monte Carlo Methods for Option Pricing under the Rough Heston Model. (2021). Jeng, Siow Woon ; Kiliman, Adem.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2021:i:22:p:2930-:d:681176.

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32. Merton’s portfolio problem under Volterra Heston model. (2021). Wong, Hoi Ying ; Han, Bingyan.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319312917.

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33. Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu.
    In: Papers.
    RePEc:arx:papers:2105.09140.

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34. Deep Learning for Exotic Option Valuation. (2021). Poulos, Zissis ; Hull, John ; Cao, Jay ; Chen, Jacky.
    In: Papers.
    RePEc:arx:papers:2103.12551.

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35. Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels. (2020). Jaber, Eduardo Abi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02412741.

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36. The Laplace transform of the integrated Volterra Wishart process. (2020). Jaber, Eduardo Abi.
    In: Working Papers.
    RePEc:hal:wpaper:hal-02367200.

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37. Series Expansion and Fourth-Order Global Padé Approximation for a Rough Heston Solution. (2020). Jeng, Siow Woon ; Kilicman, Adem.
    In: Mathematics.
    RePEc:gam:jmathe:v:8:y:2020:i:11:p:1968-:d:440719.

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38. Optimal market making with persistent order flow. (2020). Jusselin, Paul.
    In: Papers.
    RePEc:arx:papers:2003.05958.

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39. Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels. (2020). Jaber, Eduardo Abi.
    In: Papers.
    RePEc:arx:papers:1912.07445.

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40. Vol-of-vol expansion for (rough) stochastic volatility models. (2019). Akdogan, Ozan.
    In: Papers.
    RePEc:arx:papers:1910.03245.

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