Marc Yor

Universite Paris

223 Rue Saint-Honore

Paris, 75775

France

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 19,998

SSRN RANKINGS

Top 19,998

in Total Papers Downloads

4,809

SSRN CITATIONS
Rank 12,170

SSRN RANKINGS

Top 12,170

in Total Papers Citations

108

CROSSREF CITATIONS

22

Scholarly Papers (7)

1.

Stochastic Volatility for Levy Processes

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 2,196 (13,344)
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
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 975 (45,007)
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
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 620 (82,047)
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 453 (120,676)

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
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 357 (158,219)
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 208 (272,845)
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
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...