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5 research outputs found
Local Volatility Calibration by Optimal Transport
Author
B Bouchard
B Bouchard
+18 more
B Dupire
C Villani
D T Breeden
G Loeper
G Loeper
G Monge
Grrgoire Loeper
Ivan Guo
J Backhoff Veraguas
J D Benamou
L C Evans
L V Kantorovich
M Huesmann
R T Rockafellar
Shiyi Wang
V Strassen
X Tan
Y Dolinsky
Publication venue
'Elsevier BV'
Publication date
01/01/2017
Field of study
No full text
Crossref
Pricing Bounds for VIX Derivatives via Least Squares Monte Carlo
Author
A Gr�nbichler
A Sepp
+15 more
C P Fries
F A Longstaff
G H Lian
Grrgoire Loeper
Ivan Guo
J Baldeaux
J Detemple
J E Zhang
J Schoenmakers
L Andersen
L C Rogers
M B Haugh
M Joshi
R Cont
R E Whaley
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Performance Analysis of the Optimal Strategy Under Partial Information
Author
A Bel Hadj Ayed
Ahmed Bel Hadj Ayed
+16 more
B Bruder
Frederic Abergel
Grrgoire Loeper
I Karatzas
J Sass
L Isserlis
P J Brockwell
P Lakner
R C Merton
R E Kalmar
R S Liptser
S Brendle
Sofiene El Aoud
T Bjork
U Rieder
W F Sharpe
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref
Robustness of Mathematical Models and Technical Analysis Strategies
Author
Ahmed Bel Hadj Ayed
B Bruder
+19 more
Bel Hadj Ayed
Bel Hadj Ayed
C Blanchet-Scalliet
D P Brown
Frederic Abergel
Grrgoire Loeper
I Karatzas
J C Cox
P J Brockwell
P Lakner
R C Merton
R D Edwards
R Kalman
R Lord
R S Liptser
S Brendle
S L Heston
S Mikhailov
T Bjork
Publication venue
'Elsevier BV'
Publication date
01/01/2016
Field of study
No full text
Crossref
Forecasting Trends with Asset Prices
Author
A Dembo
Ahmed Bel Hadj Ayed
+34 more
B B Mandelbrot
B Benmiloud
B Bruder
B Eraker
Brian G Leroux
E Jacquier
F Akesson
F C Schweppe
F Campillo
Frederic Abergel
Grrgoire Loeper
H Frydman
H Markovitz
H Pham
J M Laskry
J Peter
J Peter
John F Monahan
K Dahia
K Tamaki
L Bachelier
M F M Osborne
M Martinez
P Lakner
P Whittle
R C Merton
R Casarin
R E Kalman
S Brendle
S Chib
S Kim
T Ryd�n
V Genon-Catalot
Y Lemp�r� Ere
Publication venue
'Elsevier BV'
Publication date
01/01/2015
Field of study
No full text
Crossref