Omar El Euch

According to our database, Omar El Euch authored at least 3 papers between 2018 and 2019.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2019

Multifactor Approximation of Rough Volatility Models.

Eduardo Abi Jaber, Omar El Euch

SIAM J. Financial Math., 2019

Short-Term At-the-Money Asymptotics under Stochastic Volatility Models.

Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum

SIAM J. Financial Math., 2019

2018

The microstructural foundations of leverage effect and rough volatility.

Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum

Finance Stochastics, 2018