Concepedia

Paul Jusselin

PJ

5

Publications

97

Citations

5

H-Index

2017

Active since

Affiliations

École Polytechnique(Current)

Laboratoire d'Informatique de l'École Polytechnique

Centre de Mathématiques Appliquées de l'École polytechnique

Paul Jusselin is an author at École Polytechnique specializing in engineering, approximation theory, and geometry.

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Publications per year

2017–2020

5

Publications

5

The Quadratic Rough Heston Model and the Joint S&P 500/VIX Smile Calibration Problem

Jim Gatheral, Paul Jusselin, Mathieu Rosenbaum · SSRN Electronic Journal · 2020 · 29 citations · Full text

The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem

Jim Gatheral, Paul Jusselin, Mathieu Rosenbaum · arXiv (Cornell University) · 2020 · 22 citations · Full text

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A Fanning Scheme for the Parallel Transport along Geodesics on Riemannian Manifolds

Maxime Louis, Benjamin Charlier, Paul Jusselin et al. · SIAM Journal on Numerical Analysis · 2018 · 20 citations · Full text

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Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies

Paul Jusselin, Edmond Lezmi, Hassan Malongo et al. · SSRN Electronic Journal · 2017 · 15 citations · Full text

No-Arbitrage Implies Power-Law Market Impact and Rough Volatility

Paul Jusselin, Mathieu Rosenbaum · Mathematical Finance · 2018 · 11 citations · Full text

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