We thank Neil Shephard for inspiring discussions and Jim Gatheral and Kasper Larsen for very relevant comments.

We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a…

This paper defines and implements a non-Bayesian fusion rule for combining densities of probabilities estimated by local (non-linear) filters for tra…

Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the…

We propose an unbiased Monte-Carlo estimator for $\mathbb{E}[g(X_{t_1}, \cdots, X_{t_n})]$, where $X$ is a diffusion process defined by a multi-dimen…

We derive the medium-induced, coherent gluon radiation spectrum associated with the hard forward scattering of an energetic parton off a nucleus, in …

The surrounding world surprises us by the beauty and variety of complex shapes that emerge from nanometric to macroscopic scales. Natural or manufact…

This paper explores the use of Column Generation (CG) techniques in constructing univariate binary decision trees for classification tasks. We propos…

We relate some basic constructions of stochastic analysis to differential geometry, via random walk approximations. We consider walks on both Riemann…

Individual random trajectories of stochastic processes are often analyzed by using quadratic forms such as time averaged (TA) mean square displacemen…

Graphical network inference is used in many fields such as genomics or ecology to infer the conditional independence structure between variables, fro…

We apply the generalized method of separation of variables (GMSV) to solve boundary value problems for the Laplace operator in three-dimensional doma…

This work is concerned with the micro-architecture of multi-layer material that globally exhibits desired mechanical properties, for instance a negat…

The name graph state is used to describe a certain class of pure quantum state which models a physical structure on which one can perform measurement…

In Cultural Heritage (CH) imaging, data acquired within different spectral regions are often used to inspect surface and sub-surface features. Due to…

We propose Trusted Neural Network (TNN) models, which are deep neural network models that satisfy safety constraints critical to the application doma…

How can we enable users to heavily specify criteria for database queries in a user-friendly way? This paper describes a general framework of a conver…

Estimating volatility from recent high frequency data, we revisit the question of the smoothness of the volatility process. Our main result is that l…

We investigate a two-dimensional Schr\"odinger operator, $-h^2 \Delta +iV(x)$, with a purely complex potential $iV(x)$. A rigorous definition of this…

We present a model for the dynamics of a population of bacteria with a continuum of traits, who compete for resources and exchange horizontally (tran…

Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay relatively slowly under certain …

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