Mathieu Rosenbaum
Mathieu Rosenbaum is a full professor at École Polytechnique in Paris, where he holds the chair in Analytics and Models for Regulation and is co-head of the quantitative finance (El Karoui) master’s program
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Articles by Mathieu Rosenbaum
Deep calibration of rough volatility models
Rough vol models are calibrated and fitted to SPX and Vix smiles
The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration