Research
My area of research is the theory of stochastic processes and its applications to mathematical finance.
Publications, book chapters, submitted papers and preprints
Feller's test for explosions of stochastic Volterra equations -- with Alessandro Bondi. arXiv:2406.13537, 2024, submitted
Polynomial Volterra processes -- with Eduardo Abi Jaber, Christa Cuchiero, Luca Pelizzari, and Sara Svaluto Ferro. arXiv:2403.14251, 2024, submitted
Understanding the least well-kept secret of high-frequency trading -- with Mathieu Rosenbaum and Emmanouil Sfendourakis. arXiv:2307.15599, 2023, submitted
Crediting football players for creating dangerous actions in an unbiased way: the generation of threat (GoT) indices -- with Ali Baouan, Sébastien Coustou, Mathieu Lacome, and Mathieu Rosenbaum. arXiv:2304.05242, 2023, submitted
Existence of optimal controls for stochastic Volterra equations -- with Andrés Cárdenas and Rafael Serrano. arXiv:2207.05169, 2022, submitted
The rough Hawkes Heston stochastic volatility model -- with Alessandro Bondi and Simone Scotti. arXiv:2210.12393. Published online in Mathematical Finance, 2024
Rough affine models -- with Martin Keller-Ressel and Martin Larsson. C. Bayer, P. K. Friz, M. Fukasawa, J. Gatheral, A. Jacquier, and M. Rosenbaum, eds., Rough Volatility, Financial Math. 2, SIAM, Philadelphia, 2023
Affine Volterra processes with jumps -- with Alessandro Bondi and Giulia Livieri. Stochastic Processes and their Applications, 2023
American options in the Volterra Heston model -- with Etienne Chevalier and Elizabeth Zúñiga. SIAM Journal on Financial Mathematics, 2022, 13(2), 426-458
A weak solution theory for stochastic Volterra equations of convolution type -- with Eduardo Abi Jaber, Christa Cuchiero and Martin Larsson. Annals of Applied Probability, 2021, Vol. 31, No. 6, 2924-2952
Financial bubbles, price impact and stochastic models. Mémoire HDR, 2020
Markov cubature rules for polynomial processes -- with Damir Filipovic and Martin Larsson. Stochastic Processes and their Applications, Volume 130, Issue 4, 2020, Pages 1947-1971
Affine Volterra processes -- with Eduardo Abi Jaber and Martin Larsson. Annals of Applied Probability, 2019, Vol. 29, No. 5, 3155-3200
Density of the set of probability measures with the martingale representation property -- with Dmitry Kramkov. Annals of Probability, 2019, Volume 47, Number 4, Pages 2563-2581
Financial Models with Defaultable Numéraires -- with Travis Fisher and Johannes Ruf. Mathematical Finance, 2019, Volume 29, Issue 1, Pages 117-136
The Jacobi stochastic volatility model -- with Damien Ackerer and Damir Filipovic. Finance and Stochastics, 2018, Volume 22, Issue 3, pp 667–700
Polynomial diffusions on compact quadric sets -- with Martin Larsson. Stochastic Processes and their Applications, 2017, Volume 127, Issue 3, Pages 901–926
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model -- with Dmitry Kramkov. SIAM Journal on Financial Mathematics, 2016, 7(1), 567–587
A system of quadratic BSDEs arising in a price impact model -- with Dmitry Kramkov. Annals of Applied Probability, 2016, Vol. 26, No. 2, 794–817
The effect of trading futures on short sale constraints-- with Robert Jarrow and Philip Protter. Mathematical Finance, 2015, Vol. 25, Issue 2, 311-338
The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions, Annals of Applied Probability, 2014, Vol. 24, No. 1, 54-75
Financial markets with short sales prohibition. PhD. Thesis
The Radon Transform and Wavelets, Master's Thesis
Wavelets: A tool for function representation, Bachelor's Thesis
Working papers
Optimal investment in a price impact model-- with Dmitry Kramkov
Notes on market completeness -- with Kostas Kardaras