Jean-Philippe Aguilar

MaRDI QIDQ2047038zbMATH 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
Calibration and option pricing with stochastic volatility and double exponential jumps Journal of Computational and Applied Mathematics	2025-03-21	Paper
The bilateral Gamma motion: calibration and option pricing Frontiers of Mathematical Finance	2024-11-26	Paper
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees Scandinavian Actuarial Journal	2023-07-12	Paper
Closed-form option pricing for exponential Lévy models: a residue approach Quantitative Finance	2023-06-20	Paper
A structural approach to default modelling with pure jump processes Applied Mathematical Finance	2021-11-15	Paper
The value of power-related options under spectrally negative Lévy processes Review of Derivatives Research	2021-08-19	Paper
Some pricing tools for the variance gamma model International Journal of Theoretical and Applied Finance	2020-08-05	Paper
On expansions for the Black-Scholes prices and hedge parameters Journal of Mathematical Analysis and Applications	2019-08-21	Paper
Series representation of the pricing formula for the European option driven by space-time fractional diffusion Fractional Calculus \ Applied Analysis	2019-08-13	Paper
The effect of classical noise on a quantum two-level system Journal of Mathematical Physics	2009-01-23	Paper

Research outcomes over time

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