Julien Guyon

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
The smile of stochastic volatility models	2024-09-06	Paper
Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle Finance and Stochastics	2024-01-02	Paper
Volatility is (mostly) path-dependent Quantitative Finance	2023-09-25	Paper
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew SIAM Journal on Financial Mathematics	2023-01-04	Paper
Inversion of convex ordering in the VIX market Quantitative Finance	2020-12-07	Paper
Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures SIAM Journal on Financial Mathematics	2020-05-29	Paper
Bounds for VIX futures given S{\&}P 500 smiles Finance and Stochastics	2017-07-21	Paper
Nonlinear option pricing	2014-02-06	Paper
Probabilistic modelling in finance and biology. Limit theorems and applications.	2010-04-06	Paper
Limit theorems for bifurcating Markov chains. Application to the detection of cellular aging The Annals of Applied Probability	2008-03-20	Paper
Euler scheme and tempered distributions Stochastic Processes and their Applications	2006-11-15	Paper
Statistical Study of Cellular Aging ESAIM: Proceedings	2005-10-12	Paper

Research outcomes over time

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