Research

Preprints

1. Stochastic control with signatures via Riccati equations on the tensor algebra with Eduardo Abi Jaber and Dimitri Sotnikov · 2026 arXiv
2. Affine structure of the Brownian signature with Eduardo Abi Jaber and Dimitri Sotnikov · 2026 arXiv
3. Volterra clocks and their pure-jump limits: hitting times of curved boundaries with Eduardo Abi Jaber and Andreas Søjmark · 2026 arXiv
4. Efficient simulation of Hawkes processes using their affine Volterra structure with Eduardo Abi Jaber and Dimitri Sotnikov · 2025 arXiv

Publications

1. Simulating integrated Volterra square-root processes and Volterra Heston models via inverse Gaussian with Eduardo Abi Jaber · Finance and Stochastics, to appear · 2026 arXiv
2. From hyper roughness to jumps as $H \to - 1/2$ with Eduardo Abi Jaber and Mathieu Rosenbaum · The Annals of Applied Probability 36(4) 3635-3660 · 2026 arXivJournal
3. Eigenvector overlaps of random covariance matrices and their submatrices with Romain Allez · Journal of Physics A: Mathematical and Theoretical 58 205003 · 2025 arXivJournal
4. Interlacing eigenvectors of large Gaussian matrices with Romain Allez · Journal of Physics A: Mathematical and Theoretical 58 045003 · 2025 arXivJournal