# Eduardo Abi Jaber

### Upcoming talks

Upcoming talks

**Vienna Congress on Mathematical Finance****,**Vienna, Austria, September 9-13, 2019.*Reconciling hyper-rough volatility with jumps.***Seminar on Finance & Modeling**, Université Paris 1, France, September 25, 2019.*Invariance and viability: from finite dimensional ODEs to infinite dimensional SDEs.***Advances in Financial Mathematics**, Paris, France, January 14-17, 2020*TBD.*

## Information

Information

I am currently a postdoctoral researcher under the supervision of Prof. Mathieu Rosenbaum at Ecole Polytechnique.

I completed my PhD in 2018 under the supervision of Prof. Bruno Bouchard and Prof. Jean-David Fermanian (CIFRE funding from AXA-IM, with supervisor Dr. Camille Illand).

**More information: **LinkedIn profile.

**Research interests:** stochastic Volterra equations, *affine processes, stochastic invariance/viability, rough volatility modeling.*

**Mail: ***eduardo.abi.jaber@gmail.com*

## Awards and grants

Awards and grants

**Bachelier Finance Society Junior Scholar Award****,**most outstanding paper, 2018.**DIM Math Innov****,**Postdoctoral Fellowship for one year starting November 2018.

## Publications

Publications

### Published/Accepted

Published/Accepted

**Lifting the Heston model**,*Quantitative Finance,*available online,**Affine Volterra processes**, with Martin Larsson and Sergio Pulido,*accepted for publication in Annals of Applied Probability.***Markovian structure of the Volterra Heston model**, with Omar El Euch,*Statistics & Probability Letters,*Volume 149, Pages 63-72, 2019.**Multifactor approximation of rough volatility models***,*with Omar El Euch,*SIAM Journal on Financial Mathematics, 10*(2), 309-349, 2019*.***(BFS Junior Scholar Award for 'most outsanding paper')****Stochastic invariance of closed sets with non-Lipschitz coefficients**, with Bruno Bouchard and Camille Illand,*Stochastic Processes and their Applications**,*Volume 129, Issue 5, Pages 1726-1748, 2019.**Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients****,***Electronic Communications in Probability*, 22, paper no. 53, 15 pp, 2017**.**

### Thesis

Thesis

### Other publications

Other publications

**The reactive covariance model and its implications in asset allocation**, with Dave Benichou and Hassan Malongo Elouaï,*Amundi Working Paper*, 2016.

## Conferences, seminars and presentations

Conferences, seminars and presentations

### Talks in conferences

Talks in conferences

**General AMaMeF Conference****,**9th Edition, Paris, France, June 11-14, 2019.*Quadratic Volterra processes and multivariate rough volatility modeling.*(**Invited)****Matinée scientifique du Ceremade,**Université Dauphine, Paris, France, January 15, 2019.*Stochastic Volterra equations.***Non linear methods for risk management****,**Paris, France, October 9, 2018.*Lifting the Heston model.*(**Invited)****Workshop on Finance, Insurance, Probability and Statistics****,**London, England, September 10-11, 2018.*Lifting the Heston model (poster).***European Summer School in Financial Mathematics****,**11th Edition, Palaiseau, France, August 27-31, 2018.*Lifting the Heston model.***Bachelier Finance Society****,**10th world congress, Dublin, Ireland, July 16-20, 2018.*Markovian structure of the Volterra Heston model.***IWAP****,**9th International Workshop on Applied Probability, Budapest, Hungary, June 18-21, 2018.*The Volterra square-root process: Markovian structure and approximation.***Workshop "Long-range fractional processes in Finance"**, Ecole Polytechnique, Palaiseau, France, June 11, 2018.*Lifting the Heston model.*(**Invited)****Workshop "Robust Finance"****,**Freiburg, Germany, May 16-18, 2018.*Lifting the Heston model.*(**Invited)****Berlin-Paris Young researchers Workshop****,**2nd Edition, Stochastic Analysis with applications in Biology and Finance, Paris, France, May 2-4, 2018.*Affine Volterra processes.*(**Invited)****German Probability and Statistics Days 2018****,**13th Edition, Freiburg, Germany, February 27 - March 2, 2018.*Affine Volterra processes.***Workshop on Quantitative Finance**, XIX Edition, Roma, Italy, January 24-26, 2018.*Affine Volterra processes.***Bachelier Colloquium****,**Twelfth Colloquium on Mathematical Finance and Stochastic Calculus, Métabief, France, January 15-20, 2018.*Affine Volterra processes.***International Conference on Computational Finance****,**2nd Edition, Lisbon, Portugal, September 4 - 8, 2017.*Stochastic invariance and applications.*(**Invited)****European Summer School in Financial Mathematics****,**10th Edition,*Affine Volterra processes.***Stochastic Processes and their Applications****,**39th Conference, Moscow, Russia, July 24-28, 2017.*Stochastic invariance and applications.***General AMaMeF Conference****,**8th Edition, Amsterdam, Netherlands, June 19-23, 2017.*Stochastic invariance and applications.***Workshop on Quantitative Finance**, XVIII Edition, Milano, Italy, January 25-27, 2017.*Stochastic invariance of closed sets with non-Lipschitz coefficients.*[slides]**Market Microstructure Confronting Many viewpoints****, #4,**Paris, France, December 6-9, 2016,*Stochastic invariance of closed sets with non-Lipschitz coefficients.*[slides]**Berlin-Paris Young Researchers Workshop****,**Stochastic Analysis with applications in Biology and Finance, Berlin, Germany, November 2-4, 2016.*Stochastic invariance of closed sets with non-Lipschitz coefficients.*[poster]**London-Paris Bachelier Workshop on Mathematical Finance**, Paris, France, September 29-30, 2016.*Stochastic invariance of closed sets with non-Lipschitz coefficients.*[poster]

### Seminars

Seminars

**Groupe de Travail Méthodes Stochastiques et Finance****,**Ecole des Ponts, INRIA & Université Paris Est, Noisy, France, April 18, 2019.*Affine and quadratic Volterra processes and applications.***Stochastic Analysis and Stochastics of Financial Markets****,**Humboldt/TU Universities, Berlin, Germany, November 8, 2018.*Lifting the Heston model.***Groupe de Travail Probabilités et Mathématiques financières****,**Université d'Evry, Evry, France, February 1, 2018.*Affine Volterra processes.***Groupe de Travail Méthodes Stochastiques et Finance****,**Ecole des Ponts, INRIA & Université Paris Est, Noisy, France, October 19, 2017.*Affine Volterra processes.***Post/Doctoral Seminar in Mathematical Finance****,**ETH-Zürich, Switzerland, October 10, 2017.*The Volterra square-root process.***Séminaires de l’équipe de Probabilités et Statistiques,**Université Paris 13, Paris, France, May 17, 2017.*Stochastic invariance and applications.*[slides]**Séminaire des Jeunes Chercheurs du Ceremade****,**Université Paris Dauphine, Paris, France, February 23, 2017,*Invariance of closed sets, from regular ODEs to irregular SDEs.*[slides]**PhD Students' Day - CEREMADE,**Université Paris Dauphine, Paris, France, October 20, 2016.*Invariance of closed sets, an intuitive overview.*[slides]**Groupe de Travail Méthodes Stochastiques et Finance****,**Ecole des Ponts, INRIA & Université Paris Est, Noisy, France, October 13, 2016.*Stochastic invariance of closed sets with non-Lipschitz coefficients.*[slides]

### Attended without presentations

Attended without presentations

**METE - Mathematics and Economics: Trends and Explorations****,**A conference celebrating Mete Soner’s 60th birthday, Zürich, Switzerland, June 04-08, 2018.**Workshop on Machine Learning and FinTech****,**5th NUS-USPC Edition, Paris, France, November 29-30, 2017.**Bachelier Colloquium****,**Eleventh Colloquium on Mathematical Finance and Stochastic Calculus, Métabief, France, January 16-21, 2017.**Advances in Financial Mathematics****,**Paris, France, January 10-13, 2017.**International Conference on Monte Carlo techniques****,**Closing conference of thematic cycle, Paris, France, July 5-8, 2016.

### Professional presentations

Professional presentations

**Regular presentations to the QuantLab at AXA Investment Managers,**Paris, France.*Lifting the Heston model*(April 26, 2018),*Affine Volterra processes and applications : an introduction*(May 4, 2017),*Affine processes on non-linear state spaces*(May 3, 2016),*Linear quadratic term structure models*(September 30, 2015).

## Teaching

Teaching

### Lectures

Lectures

**Market Risk measures***,*Université Paris 1 Sorbonne, M2 MMMEF, Fall 2019.**Introduction to Machine Learning***,*Université Paris 1 Sorbonne, M2 MMMEF, Spring 2020.**Calibration in Quantitative Finance***,*Université Paris 1 Sorbonne, M2 MMMEF, Spring 2020.

### Tutorial classes

Tutorial classes

**Linear Algebra***,*Université Paris 1 Sorbonne, Spring 2020.**Integration and Probability***,*Université Paris 1 Sorbonne, Fall 2019.**Jump processes***,*Université Paris Dauphine, M2 MASEF, Fall 2016-2020.**Valuation and No Arbitrage**, Université Paris Dauphine, M2 MASEF,