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Possamai, Dylan's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,853 |
Total
Citations
7 |
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1.
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Efficient Simulation of the Double Heston Model
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Gauthier, Pierre
Daiwa Capital Markets Europe Possamai, Dylan
Ecole Polytechnique, Paris
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Posted:
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18 Jul 09
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Last Revised:
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30 Jan 10
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1,613
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3
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Gauthier, Pierre
Daiwa Capital Markets Europe Possamai, Dylan
Ecole Polytechnique, Paris
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18 Jul 09
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Last Revised:
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30 Jan 10
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1,613
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3
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double Heston model, stochastic volatility, equity options, characteristic function, discretization scheme
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2.
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Efficient Simulation of the Wishart Model
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Gauthier, Pierre
Daiwa Capital Markets Europe Possamai, Dylan
Ecole Polytechnique, Paris
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Posted:
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17 Sep 09
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Last Revised:
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25 Sep 09
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743
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2
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Gauthier, Pierre
Daiwa Capital Markets Europe Possamai, Dylan
Ecole Polytechnique, Paris
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| Posted: |
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17 Sep 09
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Last Revised:
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25 Sep 09
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743
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2
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Stochastic Volatility, Equity options, Multifactor model, Wishart model, Discretization scheme, Random Matrix, Heston model
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3.
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Prices Expansion in the Wishart Model
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Possamai, Dylan
Ecole Polytechnique, Paris Gauthier, Pierre
Daiwa Capital Markets Europe
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Posted:
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20 Sep 09
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Last Revised:
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18 Jun 11
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468
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Possamai, Dylan
Ecole Polytechnique, Paris Gauthier, Pierre
Daiwa Capital Markets Europe
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0
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stochastic volatility, wishart model, price approximation, stochastic correlation, probability change
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Gauthier, Pierre
Daiwa Capital Markets Europe Possamai, Dylan
Ecole Polytechnique, Paris
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| Posted: |
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20 Sep 09
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Last Revised:
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29 Sep 09
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468
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1
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Stochastic volatility, Wishart model, price approximation, stochastic correlation, probability change
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4.
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Pagès, Henri
Banque de France Possamai, Dylan
Ecole Polytechnique, Paris
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29
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1
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Default Correlation, Dynamic Moral Hazard, Forward-Backward Stochastic Differential Equations
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Records 1 -
4
of 4 matches
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1
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