Mathieu Rosenbaum
Impact in
- Finance top 2%
- Financial Risk and Volatility Modeling
- Stochastic processes and financial applications
- Financial Markets and Investment Strategies
- Economics and Econometrics top 5%
- Complex Systems and Time Series Analysis
- Market Dynamics and Volatility
Papers in
- Finance 18
- Stochastic processes and financial applications 18
- Financial Risk and Volatility Modeling 14
- Financial Markets and Investment Strategies 2
- Capital Investment and Risk Analysis 1
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- Complex Systems and Time Series Analysis 9
- Market Dynamics and Volatility 1
- Co-authors
- Omar El Euch (3 shared papers)Christian Y. Robert (5 shared papers)Andrea Pallavicini (1 shared paper)Jim Gatheral (2 shared papers)Masaaki Fukasawa (2 shared papers)Sylvain Delattre (1 shared paper)Peter Tankov (2 shared papers)Mark Podolskij (1 shared paper)
- Journals
- Stochastic Processes and their Applications (3 papers)SIAM Journal on Financial Mathematics (2 papers)Operations Research (1 paper)Bernoulli (1 paper)Mathematical Finance (1 paper)
- Partner nations
- FranceUnited StatesJapan
In The Last Decade
Mathieu Rosenbaum
21 papers receiving 446 citations
Mathieu Rosenbaum's Hit Papers
Peers
Comparison fields: 5 of 30
- Finance 430
- Economics and Econometrics 214
- Modeling and Simulation 21
- General Economics, Econometrics and Finance 39
- Demography 44
Countries citing papers authored by Mathieu Rosenbaum
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
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-authors
The 13 scholars most cited alongside Mathieu Rosenbaum, linked wherever they have co-authored with each other. Click a name or a connecting line to browse the papers they share.
All Works
Showing the 20 most-cited of 22 papers — load more, or switch the sort, to bring in the rest.
| # | Work | ||
|---|---|---|---|
| 1 | The characteristic function of rough Heston models Hit paper breakdown → | 2019 | 145 |
| 2 | 2018 | 71 | |
| 3 | 2018 | 51 | |
| 4 | 2010 | 38 | |
| 5 | 2009 | 34 | |
| 6 | 2020 | 24 | |
| 7 | 2007 | 22 | |
| 8 | 2012 | 17 | |
| 9 | 2018 | 13 | |
| 10 | 2013 | 10 | |
| 11 | 2010 | 9 | |
| 12 | 2017 | 8 | |
| 13 | 2010 | 7 | |
| 14 | 2022 | 4 | |
| 15 | 2011 | 3 | |
| 16 | 2023 | 3 | |
| 17 | Ultra high frequency volatility and co-volatility estimation in a microstructure model with uncertainty zones | 2008 | 3 |
| 18 | 2022 | 2 | |
| 19 | 2025 | 1 | |
| 20 | 2016 | 1 |
About Mathieu Rosenbaum
Mathieu Rosenbaum is a scholar working on Finance, Economics and Econometrics, Mathematical Physics, Statistics and Probability and Control and Systems Engineering, having authored 22 papers that have together received 467 indexed citations. Recurring topics across this work include Stochastic processes and financial applications (18 papers), Financial Risk and Volatility Modeling (14 papers), Complex Systems and Time Series Analysis (9 papers), Stochastic processes and statistical mechanics (3 papers), Financial Markets and Investment Strategies (2 papers), Random Matrices and Applications (2 papers), Capital Investment and Risk Analysis (1 paper) and Market Dynamics and Volatility (1 paper). The work is most often cited by research in Finance (430 citations), Economics and Econometrics (214 citations), Modeling and Simulation (21 citations), General Economics, Econometrics and Finance (39 citations) and Demography (44 citations). Mathieu Rosenbaum has collaborated with scholars based in France, United States and Japan. Frequent co-authors include Omar El Euch, Christian Y. Robert, Andrea Pallavicini, Jim Gatheral, Masaaki Fukasawa, Sylvain Delattre, Peter Tankov, Mark Podolskij, Yanghui Liu and Marc Hoffmann. Their work appears in journals such as Stochastic Processes and their Applications, SIAM Journal on Financial Mathematics, Operations Research, Bernoulli and Mathematical Finance.
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.