Marc Yor

Universite Paris

223 Rue Saint-Honore

Paris, 75775

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 21,618

SSRN RANKINGS

Top 21,618

in Total Papers Downloads

5,013

TOTAL CITATIONS
Rank 12,947

SSRN RANKINGS

Top 12,947

in Total Papers Citations

100

Scholarly Papers (7)

Actions:
Email selected abstracts
1.

Stochastic Volatility for Levy Processes

Number of pages: 35 Posted: 04 Jun 2002
Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor
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 2,266 (14,320)
Citation 76

Abstract:

Loading...

2.

Pricing Options on Realized Variance

EFA 2005 Moscow Meetings Paper
Number of pages: 26 Posted: 11 Mar 2005 Last Revised: 30 Jan 2010
Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor
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 1,039 (46,554)
Citation 12

Abstract:

Loading...

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
Peter Carr, Hélyette Geman, Dilip B. Madan and Marc Yor
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 630 (90,962)
Citation 4

Abstract:

Loading...

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 492 (123,776)

Abstract:

Loading...

Exponential Compound Poisson, Asian Option, Laplace Transform

5.

Options on Realized Variance and Convex Orders

Number of pages: 28 Posted: 28 Jan 2010
Peter Carr, Hélyette Geman, Marc Yor and Dilip B. Madan
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 365 (174,833)
Citation 2

Abstract:

Loading...

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 221 (294,031)
Citation 6

Abstract:

Loading...

Local volatility, Fokker-Planck equation, Levy processes

7.

The Fine Structure of Asset Returns: An Empirical Investigation

Posted: 03 May 2002
Hélyette Geman, Peter Carr, Dilip B. Madan and Marc Yor
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

Abstract:

Loading...