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View article: Cross-impact in Derivative Markets
Cross-impact in Derivative Markets Open
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial instruments, such as derivatives, is an open problem, tackle…
View article: The Multivariate price formation process and cross-impact
The Multivariate price formation process and cross-impact Open
This thesis comprises six parts. The first relates anonymous order flow and price changes using static, linear cross-impact models. We list desirable properties of such models, characterise those which satisfy them and test their predictio…
View article: A characterisation of cross-impact kernels
A characterisation of cross-impact kernels Open
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. We consider a general class of kernel-based cross-impact models and investigate suitable parameterisations for trading pu…
View article: Cross impact in derivative markets
Cross impact in derivative markets Open
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial instruments, such as derivatives, is an open problem. To add…
View article: Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models Open
We present a neural network-based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consistently applicable throughout a range of volatility models—inc…
View article: From microscopic price dynamics to multidimensional rough volatility\n models
From microscopic price dynamics to multidimensional rough volatility\n models Open
Rough volatility is a well-established statistical stylised fact of financial\nassets. This property has lead to the design and analysis of various new rough\nstochastic volatility models. However, most of these developments have been\ncar…
View article: From microscopic price dynamics to multidimensional rough volatility models
From microscopic price dynamics to multidimensional rough volatility models Open
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carrie…
View article: Deep calibration of rough stochastic volatility models
Deep calibration of rough stochastic volatility models Open
Sparked by Alòs, León, and Vives (2007); Fukasawa (2011, 2017); Gatheral, Jaisson, and Rosenbaum (2018), so-called rough stochastic volatility models such as the rough Bergomi model by Bayer, Friz, and Gatheral (2016) constitute the latest…