Julien Guyon

Available identifiers

zbMath Open guyon.julienMaRDI QIDQ850026

List of research outcomes

Publication	Date of Publication	Type
Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle	2024-01-02	Paper
Volatility is (mostly) path-dependent	2023-09-25	Paper
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew	2023-01-04	Paper
Inversion of convex ordering in the VIX market	2020-12-07	Paper
Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures	2020-05-29	Paper
Bounds for VIX futures given S{\&}P 500 smiles	2017-07-21	Paper
https://portal.mardi4nfdi.de/entity/Q5396410	2014-02-06	Paper
https://portal.mardi4nfdi.de/entity/Q3550822	2010-04-06	Paper
Limit theorems for bifurcating Markov chains. Application to the detection of cellular aging	2008-03-20	Paper
Euler scheme and tempered distributions	2006-11-15	Paper
Statistical Study of Cellular Aging	2005-10-12	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

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