Maître de conférences (Associate Professor)
Laboratoire de Mathématiques et Modélisation d'Évry (LaMME)- CNRS UMR 8071
I.B.G.B.I., 23 Bd. de France, 91037 Évry Cedex
Office : 330
☎ +33 (0)1 64 85 34 89
Email: sergio (dot) pulidonino (at) ensiie (dot) fr
Personal website: https://sites.google.com/site/sergiopulidonino/

2024
[1]	Bondi, A., Livieri, G. & Pulido, S. Affine Volterra processes with jumps. Stochastic Processes and their Applications, 168, Elsevier, 2024.
2023
[2]	Keller-Ressel, M., Larsson, M. & Pulido, S. Rough affine models. In Rough Volatility, 2023.
[3]	Baouan, A., Coustou, S., Lacome, M., Pulido, S. & Rosenbaum, M. Crediting football players for creating dangerous actions in an unbiased way: the generation of threat (GoT) indices. , 2023., (working paper or preprint).
[4]	Pulido, S., Rosenbaum, M. & Sfendourakis, E. Understanding the least well-kept secret of high-frequency trading. , 2023., (working paper or preprint).
2022
[5]	Chevalier, E., Pulido, S. & Zu\~niga, E. American options in the Volterra Heston model. SIAM Journal on Financial Mathematics, 13(2):426-458, Society for Industrial and Applied Mathematics , 2022.
[6]	Bondi, A., Pulido, S. & Scotti, S. The rough Hawkes Heston stochastic volatility model. , 2022., (working paper or preprint).
[7]	Cardenas, A., Pulido, S. & Serrano, R. Existence of optimal controls for stochastic Volterra equations. , 2022., (working paper or preprint).
2021
[8]	Jaber, E.A., Cuchiero, C., Larsson, M. & Pulido, S. A weak solution theory for stochastic Volterra equations of convolution type. The Annals of Applied Probability, 31(6):2924-2952, Institute of Mathematical Statistics (IMS), 2021.
2020
[9]	Filipovic, D., Larsson, M. & Pulido, S. Markov cubature rules for polynomial processes. Stochastic Processes and their Applications, 130(4):1947-1971, Elsevier, 2020.
2019
[10]	Abi Jaber, E., Larsson, M. & Pulido, S. Affine Volterra processes. The Annals of Applied Probability, 29(5):3155-3200, Institute of Mathematical Statistics (IMS), 2019.
[11]	Fisher, T., Pulido, S. & Ruf, J. Financial Models with Defaultable Numéraires. Mathematical Finance, 29(1):117-136, Wiley, 2019.
[12]	Kramkov, D. & Pulido, S. Density of the set of probability measures with the martingale representation property. Annals of Probability, 47(4):2563-2581, Institute of Mathematical Statistics, 2019.
2018
[13]	Filipovic, D., Ackerer, D. & Pulido, S. The Jacobi Stochastic Volatility Model. Finance and Stochastics, 22(3):667-700, Springer Verlag (Germany), 2018.
2017
[14]	Larsson, M. & Pulido, S. Polynomial preserving diffusions on compact quadric sets. Stochastic Processes and their Applications, 127(3):901-926, Elsevier, 2017.
2016
[15]	Kramkov, D. & Pulido, S. A system of quadratic BSDEs arising in a price impact model. The Annals of Applied Probability, 26(2):794-817, Institute of Mathematical Statistics (IMS), 2016.
[16]	Kramkov, D. & Pulido, S. Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. SIAM Journal on Financial Mathematics, 7(1):567-587, Society for Industrial and Applied Mathematics , 2016.