Eduardo Abi Jaber
Eduardo Abi Jaber is an assistant professor in the department of applied mathematics at Ecole Polytechnique.
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Articles by Eduardo Abi Jaber
Simulation of Heston made simple
A new way to apply the classic stochastic volatility model is presented
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented