Research

Publications

• Othmane Zarhali, Cécilia Aubrun, Emmanuel Bacry, Jean-Philippe Bouchaud and Jean-François Muzy. Why is the volatility of single stocks so much rougher than that of the S&P500?, preprint https://arxiv.org/abs/2505.02678

• Othmane Zarhali, Emmanuel Bacry and Jean-François Muzy. A multidimensional Log S-fbm model, working paper 2025

Technical reports

• Othmane Zarhali. Stochastic local volatility models, 2019

• Othmane Zarhali.Multiscale Ornstein Uhlenbeck model, 2019

• Othmane Zarhali. Credit spread curve construction methods, 2019

Master thesis

• Othmane Zarhali. Local volatility models with stochastic interest rates, 2019 (report and slides)