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Omar El Euch

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Journal Articles

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2019
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  - https://dblp.org/rec/journals/siamfm/JaberE19
Eduardo Abi Jaber, Omar El Euch:
Multifactor Approximation of Rough Volatility Models. SIAM J. Financial Math. 10(2): 309-349 (2019)
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Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum:
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. SIAM J. Financial Math. 10(2): 491-511 (2019)
2018
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Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum:
The microstructural foundations of leverage effect and rough volatility. Finance Stochastics 22(2): 241-280 (2018)

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