Lorenzo Bergomi

Societe Generale

Paris-La Défense, Paris 92987

France

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 1,511

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Top 1,511

in Total Papers Downloads

16,795

CITATIONS
Rank 10,386

SSRN RANKINGS

Top 10,386

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 (1,902)
Citation 3

Abstract:

2.

Smile Dynamics IV

Number of pages: 12 Posted: 13 Dec 2009
Lorenzo Bergomi
Societe Generale
Downloads 2,178 (3,370)
Citation 5

Abstract:

3.

Smile Dynamics III

Number of pages: 12 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 2,138 (3,083)
Citation 12

Abstract:

4.

Smile Dynamics II

Number of pages: 14 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 2,070 (2,972)
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 (5,162)

Abstract:

6.

Correlations in Asynchronous Markets

Number of pages: 10 Posted: 09 Jul 2010
Lorenzo Bergomi
Societe Generale
Downloads 736 (15,454)

Abstract:

7.

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 0 (41,512)

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 (60,412)

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 (64,986)

Abstract:

Local volatility, stochastic volatility