Florence Guillaume

Available identifiers

zbMath Open guillaume.florenceMaRDI QIDQ2000689

List of research outcomes

Publication	Date of Publication	Type
Towards a \(\Delta\)-Gamma Sato multivariate model	2020-05-13	Paper
Building multivariate Sato models with linear dependence	2019-09-26	Paper
Implied liquidity risk premia in option markets	2019-06-28	Paper
Stochastic modelling of herd behaviour indices	2018-09-19	Paper
MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES	2018-04-11	Paper
A bootstrapping market implied moment matching calibration for models with time-dependent parameters	2015-08-26	Paper
Heston model: the variance swap calibration	2014-06-30	Paper
A moment matching market implied calibration	2014-02-20	Paper
The \(\alpha\)VG model for multivariate asset pricing: calibration and extension	2013-08-07	Paper
Implied Lévy volatility	2010-02-05	Paper
PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL	2009-11-09	Paper

Research outcomes over time

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