Mathieu Rosenbaum

1.0k total citations · 1 hit paper
22 papers, 462 citations indexed

About

Mathieu Rosenbaum is a scholar working on Finance, Economics and Econometrics and Mathematical Physics. According to data from OpenAlex, Mathieu Rosenbaum has authored 22 papers receiving a total of 462 indexed citations (citations by other indexed papers that have themselves been cited), including 18 papers in Finance, 11 papers in Economics and Econometrics and 4 papers in Mathematical Physics. Recurrent topics in Mathieu Rosenbaum's work include Stochastic processes and financial applications (18 papers), Financial Risk and Volatility Modeling (14 papers) and Complex Systems and Time Series Analysis (9 papers). Mathieu Rosenbaum is often cited by papers focused on Stochastic processes and financial applications (18 papers), Financial Risk and Volatility Modeling (14 papers) and Complex Systems and Time Series Analysis (9 papers). Mathieu Rosenbaum collaborates with scholars based in France, United States and Japan. Mathieu Rosenbaum's co-authors include Omar El Euch, Christian Y. Robert, Andrea Pallavicini, Jim Gatheral, Masaaki Fukasawa, Peter Tankov, Sylvain Delattre, Mark Podolskij, Marc Hoffmann and Yanghui Liu and has published in prestigious journals such as Operations Research, Journal of Multivariate Analysis and Stochastic Processes and their Applications.

In The Last Decade

Mathieu Rosenbaum

21 papers receiving 441 citations

Hit Papers

The characteristic function of rough Heston models 2019 2026 2021 2023 2019 40 80 120
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. The characteristic function of rough Heston models
    2019 144 citations Omar El Euch, Mathieu Rosenbaum SPIRE - Sciences Po Institutional REpository profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Mathieu Rosenbaum France 10 428 216 44 39 31 22 462
Masaaki Fukasawa Japan 13 477 1.1× 247 1.1× 53 1.2× 44 1.1× 29 0.9× 40 523
Razvan Sufana Canada 6 359 0.8× 154 0.7× 62 1.4× 71 1.8× 17 0.5× 7 396
Maria Elvira Mancino Italy 12 424 1.0× 279 1.3× 19 0.4× 49 1.3× 17 0.5× 46 485
Tina Hviid Rydberg United Kingdom 8 399 0.9× 209 1.0× 48 1.1× 42 1.1× 21 0.7× 10 476
Miklós Rásonyi Hungary 12 461 1.1× 297 1.4× 48 1.1× 24 0.6× 28 0.9× 66 557
Martino Grasselli Italy 14 570 1.3× 139 0.6× 170 3.9× 29 0.7× 35 1.1× 52 607
Karsten Prause Germany 4 505 1.2× 263 1.2× 55 1.3× 42 1.1× 23 0.7× 5 573
Tai‐Ho Wang United States 10 340 0.8× 113 0.5× 56 1.3× 39 1.0× 20 0.6× 33 444
Omar El Euch France 5 310 0.7× 119 0.6× 47 1.1× 9 0.2× 37 1.2× 5 330
Bruno Dupire United States 5 232 0.5× 71 0.3× 24 0.5× 17 0.4× 47 1.5× 5 271

Countries citing papers authored by Mathieu Rosenbaum

Since Specialization
Citations

This map shows the geographic impact of Mathieu Rosenbaum's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Mathieu Rosenbaum with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Mathieu Rosenbaum more than expected).

Fields of papers citing papers by Mathieu Rosenbaum

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Mathieu Rosenbaum. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Mathieu Rosenbaum. The network helps show where Mathieu Rosenbaum may publish in the future.

Co-authorship network of co-authors of Mathieu Rosenbaum

This figure shows the co-authorship network connecting the top 25 collaborators of Mathieu Rosenbaum. A scholar is included among the top collaborators of Mathieu Rosenbaum based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Mathieu Rosenbaum. Mathieu Rosenbaum is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Rosenbaum, Mathieu, et al.. (2025). An optimal transport based embedding to quantify the distance between playing styles in collective sports. Journal of Quantitative Analysis in Sports. 22(1). 79–104. 1 indexed citations
2.
Rosenbaum, Mathieu, et al.. (2023). Risk of Transfer Learning and its Applications in Finance. SSRN Electronic Journal. 2 indexed citations
3.
Hoffmann, Marc, et al.. (2022). Statistical Inference for Rough Volatility: Central Limit Theorems. SSRN Electronic Journal. 4 indexed citations
4.
Rosenbaum, Mathieu, et al.. (2022). Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor–Critic Approach. Operations Research. 71(2). 727–749. 2 indexed citations
5.
Gatheral, Jim, et al.. (2020). The Quadratic Rough Heston Model and the Joint S&P 500/VIX Smile Calibration Problem. SSRN Electronic Journal. 24 indexed citations
6.
Euch, Omar El & Mathieu Rosenbaum. (2019). The characteristic function of rough Heston models. SPIRE - Sciences Po Institutional REpository. 144 indexed citations breakdown →
7.
Euch, Omar El & Mathieu Rosenbaum. (2018). Perfect hedging in rough Heston models. The Annals of Applied Probability. 28(6). 70 indexed citations
8.
Pallavicini, Andrea, et al.. (2018). Rough volatility: Evidence from option prices. IISE Transactions. 50(9). 767–776. 51 indexed citations
9.
Rosenbaum, Mathieu, et al.. (2017). Asymptotic optimal tracking: feedback strategies. Stochastics. 89(6-7). 943–966. 8 indexed citations
10.
Fukasawa, Masaaki, et al.. (2016). Optimal Discretization of Hedging Strategies with Directional Views. SIAM Journal on Financial Mathematics. 7(1). 34–69. 1 indexed citations
11.
Rosenbaum, Mathieu & Marc Yor. (2015). Some explicit formulas for the Brownian bridge, Brownian meander and Bessel process under uniform sampling. ESAIM Probability and Statistics. 19. 578–589.
12.
Delattre, Sylvain, Christian Y. Robert, & Mathieu Rosenbaum. (2013). Estimating the efficient price from the order flow: A Brownian Cox process approach. Stochastic Processes and their Applications. 123(7). 2603–2619. 10 indexed citations
13.
Fukasawa, Masaaki & Mathieu Rosenbaum. (2012). Central limit theorems for realized volatility under hitting times of an irregular grid. Stochastic Processes and their Applications. 122(12). 3901–3920. 16 indexed citations
14.
Podolskij, Mark & Mathieu Rosenbaum. (2011). Testing the local volatility assumption: a statistical approach. Annals of Finance. 8(1). 31–48. 3 indexed citations
15.
Robert, Christian Y. & Mathieu Rosenbaum. (2010). On the limiting spectral distribution of the covariance matrices of time-lagged processes. Journal of Multivariate Analysis. 101(10). 2434–2451. 7 indexed citations
16.
Robert, Christian Y. & Mathieu Rosenbaum. (2010). VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS. Mathematical Finance. 22(1). 133–164. 37 indexed citations
17.
Robert, Christian Y. & Mathieu Rosenbaum. (2010). On the Microstructural Hedging Error. SIAM Journal on Financial Mathematics. 1(1). 427–453. 9 indexed citations
18.
Rosenbaum, Mathieu. (2009). Integrated volatility and round-off error. Bernoulli. 15(3). 34 indexed citations
19.
Robert, Christian Y. & Mathieu Rosenbaum. (2008). Ultra high frequency volatility and co-volatility estimation in a microstructure model with uncertainty zones. 3 indexed citations
20.
Rosenbaum, Mathieu. (2007). Estimation of the volatility persistence in a discretely observed diffusion model. Stochastic Processes and their Applications. 118(8). 1434–1462. 22 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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