Mehdi Tomas

École Polytechnique (Institut Polytechnique de Paris) - Palaiseau / France

Economics & Econometrics / Accounting & Finance

AD Scientific Index ID: 4574947

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Mehdi Tomas's MOST POPULAR ARTICLES

1-) Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility modelsB Horvath, A Muguruza, M TomasQuantitative Finance 21 (1), 11-27, 20211512021

2-) On deep calibration of (rough) stochastic volatility modelsC Bayer, B Horvath, A Muguruza, B Stemper, M TomasarXiv preprint arXiv:1908.08806, 2019702019

3-) Deep learning volatilityB Horvath, A Muguruza, M TomasarXiv preprint arXiv:1901.09647, 2019802019

4-) How to build a cross-impact model from first principles: Theoretical requirements and empirical resultsM Tomas, I Mastromatteo, M BenzaquenQuantitative Finance 22 (6), 1017-1036, 2022252022

5-) From microscopic price dynamics to multidimensional rough volatility modelsM Rosenbaum, M TomasAdvances in Applied Probability 53 (2), 425-462, 2021242021

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