Fake stationary rough Heston volatility: Microstructure-inspired foundations
Type
Hawkes Processes
Scaling Limits
Limit Theorems
Skorokhod Topology
Fractional Stochastic Differential Equations
Fourier-Laplace Transforms
Mittag-Leffler Functions
Regularity
Authors
Emmanuel G.
(he/him)
Researcher in Mathematics and Applications
Hi, welcome to my website! I am a Research Scientist in Mathematics working on stochastic analysis, optimal control, diffusion models, and statistics, with applications to mathematical finance and machine learning.
Prior to this, I studied at École Polytechnique, where I earned an engineering degree with a major in mathematics. I also obtained a Master’s degree in Probability and Finance from IP Paris, jointly with Sorbonne Université, graduating with highest honors (mention Très Bien) and received a bachelor’s degree in Philosophy from Université Paris Nanterre.
Authors
Authors