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Gobet, Emmanuel's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
5,194 |
Total
Citations
36 |
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1.
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Benhamou, Eric
Pricing Partners Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees Miri, Mohammed
Pricing Partners
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1,973
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14
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asymptotic expansion, Malliavin calculus, small volatility of volatility, time dependent Heston model
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2.
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Benhamou, Eric
Pricing Partners Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees Miri, Mohammed
Pricing Partners
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956
(9,938)
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3
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local volatility model, European options, asymptotic expansion, Malliavin calculus, small diffusion process, CEV model
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3.
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Benhamou, Eric
Pricing Partners Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees Miri, Mohammed
Pricing Partners
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| Posted: |
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01 Jan 08
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Last Revised:
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30 Dec 09
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696
(16,127)
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9
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asymptotic expansion, Malliavin calculus, volatility skew and smile, small diffusion process, small jump frequency/size
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4.
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Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
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502
(25,363)
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3
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5.
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Benhamou, Eric
Pricing Partners Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees Miri, Mohammed
Pricing Partners
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453
(29,048)
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3
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asymptotic expansion, local volatility model, HJM framework, Hull and White model, Malliavin calculus, small diffusion process, CEV model
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6.
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Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees Suleiman, Ali
affiliation not provided to SSRN
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209
(71,477)
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1
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Local volatility model, European option, asymptotic expansion, CEV model
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7.
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Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees Makhlouf, Azmi
Laboratoire Jean Kuntzmann - Université de Grenoble and CNRS
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194
(77,072)
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hedging strategies, fractional regularity, L2 convergence
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8.
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Etore, Pierre
affiliation not provided to SSRN Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
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128
(111,938)
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1
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equity option, discrete dividend, stochastic approximation, analytic formula
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9.
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Bompis, Romain
Ecole Polytechnique, Paris Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
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61
(182,146)
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10.
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Bernis, Guillaume
Banque CPR - CAI-Fixed Income Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees Kohatsu-Higa, Arturo
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
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21
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2
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Barrier and Lookback Options, Option Sensitivities, Malliavin Calculus
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11.
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Gobet, Emmanuel
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees Makhlouf, Azmi
Laboratoire Jean Kuntzmann - Université de Grenoble and CNRS
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1
(343,102)
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hedging strategies, fractional regularity, convergence
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Records 1 -
11
of 11 matches
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