Short bio
- Ecole des Mines de Nancy, Engineering degree, major: Applied mathematics
- Ecole Polytechnique / Sorbonne Université, Msc Probabilités et finance (ex DEA El KAROUI)
Thesis title
Multifractal and rough volatility processes in statistical finance. Link with market microstructure.
Short abstract
Log S-fBm models, which reconciles rough volatility models and multifractal volatility models, has laid the foundations for estimation methods common to both universes. Its applications and challenges are the focus of this thesis.