Marc Yor

Universite Paris

223 Rue Saint-Honore

Paris, 75775

France

SCHOLARLY PAPERS

10

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CITATIONS
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Top 4,981

in Total Papers Citations

110

Scholarly Papers (10)

1.

Stochastic Volatility for Levy Processes

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 35 Posted: 04 Jun 2002
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 2,023 (6,952)
Citation 140

Abstract:

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2.

Pricing Options on Realized Variance

EFA 2005 Moscow Meetings Paper
Number of pages: 26 Posted: 11 Mar 2005 Last Revised: 30 Jan 2010
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 841 (27,396)
Citation 37

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Options on Variance Swaps, Options on Time Changes, Self Decomposability and its Hierarchy

3.

From Local Volatility to Local Levy Models

Quantitative Finance, Vol. 4, No. 5, October 2004
Number of pages: 17 Posted: 15 Jan 2007
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 551 (48,373)
Citation 16

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Hunt Processes, Persistent Skewness, Convolution Transforms

4.

The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX

Robert H. Smith School Research Paper No. RHS 06-117
Number of pages: 22 Posted: 28 Jan 2010 Last Revised: 13 May 2010
Dilip B. Madan and Marc Yor
University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 371 (78,424)
Citation 4

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Exponential Compound Poisson, Asian Option, Laplace Transform

5.

Options on Realized Variance and Convex Orders

Number of pages: 28 Posted: 28 Jan 2010
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, Universite Paris and University of Maryland - Robert H. Smith School of Business
Downloads 292 (102,513)
Citation 4

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reverse martingale, quadratic variation, stochastic volatility

6.

How to Make Dupire's Local Volatility Work with Jumps

Number of pages: 7 Posted: 28 Feb 2013
Peter Friz, Stefan Gerhold and Marc Yor
Technische Universität Berlin (TU Berlin), Vienna University of Technology and Universite Paris
Downloads 69 (327,891)
Citation 8

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Local volatility, Fokker-Planck equation, Levy processes

7.

Self-Decomposability and Option Pricing

Mathematical Finance, Vol. 17, No. 1, pp. 31-57, January 2007
Number of pages: 27 Posted: 13 Dec 2006
New York University Finance and Risk Engineering, University of London - Economics, Mathematics and Statistics, University of Maryland - Robert H. Smith School of Business and Universite Paris
Downloads 25 (487,241)
Citation 51
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8.

Passport Options

Mathematical Finance, Vol. 12, pp. 299-328, 2002
Number of pages: 30 Posted: 07 Feb 2003
Freddy Delbaen and Marc Yor
Swiss Federal Institute of Technology at Zurich and Universite Paris
Downloads 19 (521,212)
Citation 4
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9.

The Fine Structure of Asset Returns: An Empirical Investigation

Journal of Business, Vol. 75, No. 2, April 2002
Posted: 03 May 2002
University of London - Economics, Mathematics and Statistics, New York University Finance and Risk Engineering, University of Maryland - Robert H. Smith School of Business and Universite Paris

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10.

On Models of Default Risk

Mathematical Finance, Vol. 10, No. 2, April 2000
Posted: 17 Mar 2001
University of Calgary - Haskayne School of Business, Université d'Évry - Departement de Mathematiques and Universite Paris

Abstract:

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