3 papers in the archive (2024–2025), average empirical rigor 3.3/10, average math complexity 8.7/10. Quadrant mix: Holy Grail ×1, Lab Rats ×2.
Works mostly in Volatility Modeling & Forecasting.
Frequent co-authors: Romain Allez (2), Eduardo Abi Jaber (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We introduce a novel simulation scheme, iVi (integrated Volterra implicit), for integrated Volterra square-root processes and Volterra Heston models based on the Inverse Gaussian distribution. The scheme is designed to handle $L^1$ kernels with singularities by relying solely on integrated kernel qu
We consider the singular vectors of any $m \times n$ submatrix of a rectangular $M \times N$ Gaussian matrix and study their asymptotic overlaps with those of the full matrix, in the macroscopic regime where $N ,/, M,$, $m ,/, M$ as well as $n ,/, N$ converge to fixed ratios. Our method makes
We consider the eigenvectors of the principal minor of dimension $n< N$ of the Dyson Brownian motion in $\mathbb{R}^{N}$ and investigate their asymptotic overlaps with the eigenvectors of the full matrix in the limit of large dimension. We explicitly compute the limiting rescaled mean squared overla