Eduardo Abi Jaber

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.
Eduardo Abi Jaber

Stochastic invariance [SDE, Jump-SDE, Slides]

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

Publications

Published/Accepted

Thesis

Other publications

Conferences, seminars and presentations

Talks in conferences

Seminars

Attended without 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

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

  • 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, Fall 2016-2019.