Eduardo Abi Jaber

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Eduardo Abi Jaber

Stochastic invariance [SDE, Jump-SDE, Slides]

Information

I am currently a PhD candidate under the supervision of Prof. Bruno Bouchard and Prof. Jean-David Fermanian.

More information: LinkedIn profile.

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

Mail: eduardo.abi.jaber@gmail.com

Awards and grants

Publications

Preprints

Published/Accepted

Other publications

  • Abi Jaber, E., Benichou, D., & Malongo Elouaï, H. (2016). The reactive covariance model and its implications in asset allocation. Amundi Working Paper [WP-057-2016].


Conferences, seminars and presentations

Talks

Seminars

Attended without presentations

Professional presentations

  • Regular presentations to the Quantitative Research Team and the Financial Engineering Team 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 (September 30, 2015).


Teaching

  • 2017-2019: Jump processes, Tutorial classes M2 MASEF, Université Paris Dauphine. [1,2]
  • 2016-2019: Valuation and No Arbitrage, Tutorial classes M2 MASEF, Université Paris Dauphine. [1,2]