Omar El Euch

Publication Activity (10 Years)

Years Active: 2018-2019
Publications (10 Years): 3

Top Topics

Thermal Conductivity

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Publications

Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. SIAM J. Financial Math. 10 (2) (2019)
Eduardo Abi Jaber, Omar El Euch
Multifactor Approximation of Rough Volatility Models. SIAM J. Financial Math. 10 (2) (2019)
Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
The microstructural foundations of leverage effect and rough volatility. Finance Stochastics 22 (2) (2018)