Lorenzo Bergomi

Societe Generale

Paris-La Défense, Paris 92987

France

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 1,603

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Top 1,603

in Total Papers Downloads

15,547

CITATIONS
Rank 10,368

SSRN RANKINGS

Top 10,368

in Total Papers Citations

41

Scholarly Papers (9)

1.

Smile Dynamics I

Number of pages: 14 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 2,618 (2,037)
Citation 3

Abstract:

2.

Smile Dynamics IV

Number of pages: 12 Posted: 13 Dec 2009
Lorenzo Bergomi
Societe Generale
Downloads 2,178 (3,443)
Citation 5

Abstract:

3.

Smile Dynamics III

Number of pages: 12 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 2,138 (3,236)
Citation 12

Abstract:

4.

Smile Dynamics II

Number of pages: 14 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 2,070 (3,155)
Citation 21

Abstract:

5.

The Smile in Stochastic Volatility Models

Number of pages: 15 Posted: 03 Dec 2011 Last Revised: 06 May 2012
Lorenzo Bergomi and Julien Guyon
Societe Generale and Bloomberg L.P.
Downloads 1,341 (5,488)

Abstract:

6.

Correlations in Asynchronous Markets

Number of pages: 10 Posted: 09 Jul 2010
Lorenzo Bergomi
Societe Generale
Downloads 736 (16,199)

Abstract:

7.

Local, Stochastic, Local/Stochastic, Volatility Models – And Non-Models

Number of pages: 11 Posted: 21 Jan 2017
Lorenzo Bergomi
Societe Generale
Downloads 0 (73,628)

Abstract:

Local volatility, Stochastic volatility

8.

Stochastic Volatility Modeling: Chapter 1 - Introduction

Chapter 1 of Stochastic Volatility Modeling, published by CRC/Chapman & Hall, 2016
Number of pages: 33 Posted: 11 Jan 2016
Lorenzo Bergomi
Societe Generale
Downloads 0 (74,371)

Abstract:

Stochastic volatility

9.

Stochastic Volatility Modeling: Chapter 2 - Local Volatility

Chapter 2 of Stochastic Volatility Modeling, published by CRC/Chapman & Hall, 2016
Number of pages: 86 Posted: 11 Jan 2016 Last Revised: 13 Jan 2016
Lorenzo Bergomi
Societe Generale
Downloads 0 (72,595)

Abstract:

Local volatility, stochastic volatility