M
Mathieu Rosenbaum
Researcher at École Polytechnique
Publications - 141
Citations - 3952
Mathieu Rosenbaum is an academic researcher from École Polytechnique. The author has contributed to research in topics: Volatility (finance) & Fractional Brownian motion. The author has an hindex of 29, co-authored 130 publications receiving 3214 citations. Previous affiliations of Mathieu Rosenbaum include ENSAE ParisTech & Pierre-and-Marie-Curie University.
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Volatility is rough
TL;DR: In this paper, the authors showed that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable timescale.
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Volatility is rough
TL;DR: This paper showed that log-volatility behaves essentially as a fractional Brownian motion with Hurst exponent H of order 0.1, at any reasonable time scale, and that volatility is not long memory in the Rough FSV model.
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The characteristic function of rough Heston models
Omar El Euch,Mathieu Rosenbaum +1 more
TL;DR: In this article, the authors compute the characteristic function of the log-price in rough Heston models, where the Riccati equation is replaced by a fractional RICCati equation.
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Sparse recovery under matrix uncertainty
TL;DR: In this article, the MU-selectors are used to estimate the sparsity pattern of a sparse vector θ ∗ under matrix uncertainty, where the matrix uncertainty is in the fact that X is observed with additive error.
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Sparse recovery under matrix uncertainty
TL;DR: New estimators called matrix uncertainty selectors (or, shortly, the MU-selectors) are suggested which are close to θ * in different norms and in the prediction risk if the restricted eigenvalue assumption on X is satisfied.