J. L. Prigent

Available identifiers

zbMath Open prigent.jean-lucMaRDI QIDQ1026545

List of research outcomes

Publication	Date of Publication	Type
On the risk management of demand deposits: quadratic hedging of interest rate margins	2022-07-05	Paper
Mixed-asset portfolio allocation under mean-reverting asset returns	2020-01-20	Paper
On the optimality of path-dependent structured funds: the cost of standardization	2019-03-28	Paper
Optimal portfolio positioning within generalized Johnson distributions	2018-11-19	Paper
A dynamic autoregressive expectile for time-invariant portfolio protection strategies	2018-11-01	Paper
On the robustness of portfolio allocation under copula misspecification	2018-10-31	Paper
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions	2018-04-03	Paper
On the diversity score: a copula approach	2017-07-14	Paper
Portfolio insurance: gap risk under conditional multiples	2016-06-23	Paper
Hedging global environment risks: an option based portfolio insurance	2014-03-19	Paper
On the maximization of financial performance measures within mixture models	2011-03-29	Paper
Standardized versus customized portfolio: a compensating variation approach	2009-06-25	Paper
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING	2008-09-03	Paper
Portfolio Optimization and Performance Analysis	2007-03-29	Paper
Weak convergence of financial markets.	2003-06-18	Paper
https://portal.mardi4nfdi.de/entity/Q2782362	2002-01-01	Paper
Option pricing with a general marked point process.	2001-11-26	Paper
Incomplete markets: convergence of options values under the minimal martingale measure	2000-11-22	Paper
Convergence of discrete time option pricing models under stochastic interest rates	2000-05-24	Paper

Research outcomes over time

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