Thibault Jaisson

Finance · 2013–2015

A researcher in the Science corpus: 3 papers; trusts 34 researchers and is trusted by 30 researchers here, as inferred from the citation graph.

Subfields

• Finance — 33 citations into it; #999 of 10,518 by trust here, #2,459 by citations
• Applied Mathematics — 25 citations into it; #1,157 of 7,620 by trust here, #1,958 by citations
• Economics and Econometrics — 23 citations into it; #4,576 of 23,481 by trust here, #11,156 by citations
• Molecular Biology — 10 citations into it; #3,147 of 17,773 by trust here, #13,563 by citations
• Mathematical Physics — 8 citations into it; #2,679 of 8,562 by trust here, #4,022 by citations
• Geometry and Topology — 5 citations into it

Whom Thibault Jaisson trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Emmanuel Bacry
2. Clive G. Bowsher
3. V. Chavez‐Demoulin
4. Jean-Philippe Bouchaud
5. Stephen J. Hardiman
6. Sylvain Delattre
7. Jean-François Muzy
8. Yacine Aït-Sahalia
9. Paul Embrechts
10. Pierre Brémaud

Who trusts Thibault Jaisson overall

1. Mathieu Rosenbaum
2. Omar El Euch
3. Eduardo Abi Jaber
4. Paul Jusselin
5. Jim Gatheral
6. Emmanuel Bacry
7. Christa Cuchiero
8. Alan G. Hawkes
9. Christian Bayer
10. Jean-François Muzy

Papers from Thibault Jaisson's perspective

Ordered by how strongly the researchers Thibault Jaisson trusts endorse each paper. Same corpus, a different order for every researcher.

1. A Theory for the Term Structure of Interest Rates
2. Affine Point Processes and Portfolio Credit Risk (SIAM Journal on Financial Mathematics)
3. Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models
4. Estimating value-at-risk: a point process approach
5. Modelling microstructure noise with mutually exciting point processes
6. Theory Of Financial Risk And Derivative Pricing
7. The Long Memory of the Efficient Market
8. Self-Exciting Point Process Modeling of Crime
9. Multivariate Hawkes processes: an application to financial data (Journal of Applied Probability)
10. Non-parametric kernel estimation for symmetric Hawkes processes. Application to high frequency financial data

Their papers

• Volatility is rough (2014) — 874 citations
• Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes (2015) — 145 citations
• Limit theorems for nearly unstable Hawkes processes (2013) — 181 citations