The microstructural foundations of leverage effect and rough volatility. - Omar El Euch; Masaaki Fukasawa; Mathieu Rosenbaum (Finance Stochastics, 2018)

Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. - Omar El Euch; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum (SIAM J. Financial Math., 2019)

Multifactor Approximation of Rough Volatility Models. - Eduardo Abi Jaber; Omar El Euch (SIAM J. Financial Math., 2019)