Scholar
Eduardo Abi-Jaber
Google Scholar ID: U35GhtAAAAAJ
Ecole Polytechnique
Citations & Impact
Citations
1,111
H-index
17
i10-index
19
Publications
20
Co-authors
26
list available
Publications
Browse publications on Google Scholar (top-right) ↗
Resume (English only)
Academic Achievements
- Publications:
- - Hedging with memory: shallow and deep learning with signatures, with Louis-Amand Gérard, 2025
- - Exponentially Fading Memory Signature, with Dimitri Sotnikov, 2025
- - Weak solutions of Stochastic Volterra Equations in convex domains with general kernels, with Aurélien Alfonsi and Guillaume Szulda, 2025
- - Simulating integrated Volterra square-root processes and Volterra Heston models via Inverse Gaussian, with Elie Attal, 2025
- - Martingale property and moment explosions in signature volatility models, with Paul Gassiat and Dimitri Sotnikov, 2025
- - From Hyper Roughness to Jumps as H -> -1/2, with Elie Attal and Mathieu Rosenbaum, 2025
- - Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX, with Shaun Li, 2025
- Awards:
- - AMIES PhD Award, 2019
- - Bachelier Finance Society Junior Scholar Award, 2018
- - DIM Math Innov Postdoctoral Fellowship, 2018
Research Experience
- Professor in Applied Mathematics at Ecole Polytechnique, responsible for teaching M2 Probabilité et Finance. Co-organizes the Bachelier Seminar and is responsible for the 3rd-year engineering cycle internships in Mathematical Finance at Ecole Polytechnique.
Education
- Defended his PhD Thesis in 2018 and Habilitation à Diriger des Recherches (HDR) in 2024.
Background
- Research Interests: Mathematical finance, path-signatures, Volterra processes, volatility modeling, machine learning. Professor in Applied Mathematics at Ecole Polytechnique in the Mathematical Finance group of the CMAP department.
Miscellany
- Personal Interest: Drumming
