Concepedia

Mehdi Tomas

MT

Statistics

Publications

5

Citations

217

H-Index

5

Active since

2019

Affiliations

École Polytechnique(Current)

Imperial College London

Mehdi Tomas is an author at École Polytechnique specializing in business, volatility modeling, and rough volatility models.

Publications per year

2019–2025

5

Publications

5

Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models

Blanka Horvath, Aitor Muguruza, Mehdi Tomas · Quantitative Finance · 2020 · 140 citations · Full text

Business, Computer Science, Asset Pricing +16

On Deep Calibration of (rough) Stochastic Volatility Models

Christian Bayer, Blanka Horvath, Aitor Muguruza et al. · The Journal of FinTech · 2025 · 33 citations · Full text

Business, Computer Science, Finance +17

Deep Learning Volatility

Blanka Horvath, Aitor Muguruza, Mehdi Tomas · SSRN Electronic Journal · 2019 · 18 citations · Full text

Business, Computer Science, Forecasting +16

From microscopic price dynamics to multidimensional rough volatility models

Mathieu Rosenbaum, Mehdi Tomas · Advances in Applied Probability · 2021 · 15 citations

Business, Economics, Finance +16

How to Build a Cross-Impact Model from First Principles: Theoretical Requirements and Empirical Results

Mehdi Tomas, Iacopo Mastromatteo, Michael Benzaquen · Quantitative Finance · 2020 · 11 citations · Full text

Management, Organizational Behavior, Business Strategy +3

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