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No‐arbitrage implies power‐law market impact and rough volatility
Jusselin, Paul; Rosenbaum, Mathieu - In: Mathematical Finance 30 (2020) 4, pp. 1309-1336
Persistent link: https://www.econbiz.de/10012283194
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The characteristic function of rough Heston models
El Euch, Omar; Rosenbaum, Mathieu - In: Mathematical Finance 29 (2018) 1, pp. 3-38
Persistent link: https://www.econbiz.de/10012095145
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Optimal make–take fees for market making regulation
Euch, Omar El; Mastrolia, Thibaut; Rosenbaum, Mathieu; … - In: Mathematical Finance 31 (2020) 1, pp. 109-148
Persistent link: https://www.econbiz.de/10012410104