Concepedia

Omar El Euch

OE

7

Publications

662

Citations

7

H-Index

2017

Active since

Affiliations

École Polytechnique(Current)

Omar El Euch is an author at École Polytechnique specializing in asset pricing, volatility modeling, and multivariate stochastic volatility.

ORCID

Top concepts

Publications per year

2017–2019

7

Publications

7

The characteristic function of rough Heston models

Omar El Euch, Mathieu Rosenbaum · SPIRE - Sciences Po Institutional REpository · 2019 · 277 citations

Perfect hedging in rough Heston models

Omar El Euch, Mathieu Rosenbaum · The Annals of Applied Probability · 2018 · 135 citations · Full text

, , +20

The microstructural foundations of leverage effect and rough volatility

Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum · Finance and Stochastics · 2018 · 131 citations · Full text

, , +5

Markovian structure of the Volterra Heston model

Eduardo Abi Jaber, Omar El Euch · HAL (Le Centre pour la Communication Scientifique Directe) · 2018 · 60 citations · Full text

The characteristic function of rough Heston models

Omar El Euch, Mathieu Rosenbaum · Mathematical Finance · 2018 · 27 citations · Full text

, , +9

Rows per page

1–5 of 7