Lorenzo Bergomi

Societe Generale

Paris-La Défense, Paris 92987

France

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 1,352

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Top 1,352

in Total Papers Downloads

37,130

SSRN CITATIONS
Rank 14,052

SSRN RANKINGS

Top 14,052

in Total Papers Citations

15

CROSSREF CITATIONS

91

Scholarly Papers (10)

1.

Smile Dynamics I

Number of pages: 14 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 8,323 (1,462)
Citation 29

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2.

Smile Dynamics II

Number of pages: 14 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 6,337 (2,292)
Citation 57

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3.

Smile Dynamics III

Number of pages: 12 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 5,166 (3,269)
Citation 26

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4.

Smile Dynamics IV

Number of pages: 12 Posted: 13 Dec 2009
Lorenzo Bergomi
Societe Generale
Downloads 4,749 (3,785)
Citation 16

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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 Ecole des Ponts ParisTech
Downloads 4,424 (4,254)
Citation 3

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6.

Local-Stochastic Volatility: Models and Non-Models

Number of pages: 9 Posted: 21 Jan 2017 Last Revised: 20 Jul 2017
Lorenzo Bergomi
Societe Generale
Downloads 2,349 (11,866)
Citation 2

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Local volatility, Stochastic volatility

7.

Correlations in Asynchronous Markets

Number of pages: 10 Posted: 09 Jul 2010
Lorenzo Bergomi
Societe Generale
Downloads 2,098 (14,244)
Citation 1

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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 1,438 (25,455)

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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 1,434 (25,567)
Citation 1

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Local volatility, stochastic volatility

10.

Parametrization of Correlations in Multi-Asset Stochastic Volatility/Local-Stochastic Volatility Models

Number of pages: 10 Posted: 05 May 2020 Last Revised: 10 Jan 2022
Lorenzo Bergomi
Societe Generale
Downloads 812 (57,440)

Abstract:

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Stochastic Volatility, Local Volatility, Multi-Asset, Correlation