Florence Guillaume

MaRDI QIDQ2000689zbMATH OpenFDO

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
Towards a \(\Delta\)-Gamma Sato multivariate model Review of Derivatives Research	2020-05-13	Paper
Building multivariate Sato models with linear dependence Quantitative Finance	2019-09-26	Paper
Implied liquidity risk premia in option markets Annals of Finance	2019-06-28	Paper
Stochastic modelling of herd behaviour indices Quantitative Finance	2018-09-19	Paper
Multivariate option pricing models with Lévy and Sato VG marginal processes International Journal of Theoretical and Applied Finance	2018-04-11	Paper
A bootstrapping market implied moment matching calibration for models with time-dependent parameters Journal of Computational and Applied Mathematics	2015-08-26	Paper
Heston model: the variance swap calibration Journal of Optimization Theory and Applications	2014-06-30	Paper
A moment matching market implied calibration Quantitative Finance	2014-02-20	Paper
The \(\alpha\)VG model for multivariate asset pricing: calibration and extension Review of Derivatives Research	2013-08-07	Paper
Implied Lévy volatility Quantitative Finance	2010-02-05	Paper
PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL International Journal of Theoretical and Applied Finance	2009-11-09	Paper

Research outcomes over time

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