Eduardo Abi Jaber


I am currently Assistant Professor (Tenure Track)  in Applied Mathematics at Ecole Polytechnique in the Mathematical Finance group of the CMAP department. 

I co-organize the Bachelier Seminar and I am responsible of the 3rd-year engineering cycle internships in Mathematical Finance at Ecole Polytechnique. 

Research interests:  Mathematical finance, stochastic processes, machine learning, volatility modeling, Volterra processes and their applications.

Teaching: Fractional and Volterra processes in Finance (M2 Probabilité et Finance, Ecole Polytechnique-Sorbonne Université) and Deep Learning in Finance (MsC Data cience in Finance, Ecole Polytechnique-HEC).


Prior to this:

Awards & grants


[19] Equilibrium in Functional Stochastic Games with Mean-Field Interaction, with Eyal Neuman and Moritz Voss, 2023

[18] Reconciling rough volatility with jumps, with Nathan De Carvalho, 2023.

[17] The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles, with Camille Illand and Shaun Li, Risk Magazine (Cutting Edge section), 2023. (iPython notebook)

[16] Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints, with Camille Illand and Shaun Li, 2022. 

[15] Optimal Liquidation with Signals: the General Propagator Case, with Eyal Neuman, 2022. (iPython notebook)         

[14] Gaussian Agency problems with memory and Linear Contracts, with Stéphane Villeneuve, 2022.          

[13] The characteristic function of Gaussian stochastic volatility models: an analytic expression, Finance & Stochastics, 26, 733–769, 2022.                

[12] Markowitz portfolio selection for multivariate affine and quadratic Volterra models, with Enzo Miller and Huyên Pham, SIAM Journal on Financial Mathematics12(1), 369-409, 2021.  (iPython notebook).

[11] Weak existence and uniqueness for affine stochastic Volterra equations with L1-kernels, Bernoulli, 27(3), 1583-1615, 2021.

[10] The Laplace transform of the integrated Volterra Wishart process, Mathematical Finance, 32(1), 309-348, 2022.       

[9] Integral operator Riccati equations arising in stochastic Volterra control problems, with Enzo Miller and Huyên Pham, SIAM Journal on Control and Optimization, 59(2),  1581-1603, 2021.

[8] Linear-Quadratic control for a class of stochastic Volterra equations: solvability and approximation, with Enzo Miller and Huyên Pham, Annals of Applied Probability, 31(5), 2244-2274, 2021.     

[7] A weak solution theory for stochastic Volterra equations of convolution type, with Christa Cuchiero, Martin Larsson and Sergio Pulido, Annals of Applied Probability, 31(6), 2924-2952, 2021.

[6] Lifting the Heston model, Quantitative Finance, 1-19, 2019.   

[5] Markovian structure of the Volterra Heston model, with Omar El Euch, Statistics & Probability Letters, Volume 149, Pages 63-72, 2019.

[4] 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')

[3] Affine Volterra processes, with Martin Larsson and Sergio Pulido, Annals of Applied Probability, Volume 29, Number 5, 3155-3200, 2019.        

[2] Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients, Electronic Communications in Probability, 22, paper no. 53, 15 pp, 2017

[1] 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.      


PhD Students






Ongoing at Ecole Polytechnique 



Tutorial classes