J. L. Prigent

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Person:1026545

Available identifiers

zbMath Open prigent.jean-lucMaRDI QIDQ1026545

List of research outcomes





PublicationDate of PublicationType
On the risk management of demand deposits: quadratic hedging of interest rate margins2022-07-05Paper
Mixed-asset portfolio allocation under mean-reverting asset returns2020-01-20Paper
On the optimality of path-dependent structured funds: the cost of standardization2019-03-28Paper
Optimal portfolio positioning within generalized Johnson distributions2018-11-19Paper
A dynamic autoregressive expectile for time-invariant portfolio protection strategies2018-11-01Paper
On the robustness of portfolio allocation under copula misspecification2018-10-31Paper
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions2018-04-03Paper
On the diversity score: a copula approach2017-07-14Paper
Portfolio insurance: gap risk under conditional multiples2016-06-23Paper
Hedging global environment risks: an option based portfolio insurance2014-03-19Paper
On the maximization of financial performance measures within mixture models2011-03-29Paper
Standardized versus customized portfolio: a compensating variation approach2009-06-25Paper
A GENERAL SUBORDINATED STOCHASTIC PROCESS FOR DERIVATIVES PRICING2008-09-03Paper
Portfolio Optimization and Performance Analysis2007-03-29Paper
Weak convergence of financial markets.2003-06-18Paper
https://portal.mardi4nfdi.de/entity/Q27823622002-01-01Paper
Option pricing with a general marked point process.2001-11-26Paper
Incomplete markets: convergence of options values under the minimal martingale measure2000-11-22Paper
Convergence of discrete time option pricing models under stochastic interest rates2000-05-24Paper

Research outcomes over time

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