List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Smiles \& smirks: volatility and leverage by jumps European Journal of Operational Research | 2022-02-22 | Paper |
| Multivariate FX models with jumps: triangles, quantos and implied correlation European Journal of Operational Research | 2018-05-29 | Paper |
| Pricing variable annuity guarantees in a local volatility framework Insurance Mathematics & Economics | 2014-06-23 | Paper |
| Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets ASTIN Bulletin | 2014-06-11 | Paper |
| Vanna-Volga methods applied to FX derivatives: from theory to market practice International Journal of Theoretical and Applied Finance | 2011-01-20 | Paper |
Research outcomes over time
This page was built for person: Grégory Rayée
