Concepedia

Mathieu Rosenbaum

MR

15

Publications

859

Citations

13

H-Index

2007

Active since

Affiliations

École Polytechnique(Current)

Sorbonne Université

Centre National de la Recherche Scientifique

Université Paris Cité

ENSAE Paris

Mathieu Rosenbaum is an author at École Polytechnique specializing in engineering, multivariate stochastic volatility, and statistics.

Top concepts

Publications per year

2007–2021

15

Publications

15

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

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Rough volatility: Evidence from option prices

Giulia Livieri, Saad Mouti, Andrea Pallavicini et al. · IISE Transactions · 2018 · 90 citations · Full text

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VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS

Christian Y. Robert, Mathieu Rosenbaum · Mathematical Finance · 2010 · 73 citations

, , +16

Integrated volatility and round-off error

Mathieu Rosenbaum · Bernoulli · 2009 · 54 citations · Full text

, , +19

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