Pierre Gauthier

Daiwa Capital Markets Europe

Quantitative Analyst

5 King William Street

London, EC4N 7DA

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 4,263

SSRN RANKINGS

Top 4,263

in Total Papers Downloads

9,136

CITATIONS
Rank 30,703

SSRN RANKINGS

Top 30,703

in Total Papers Citations

7

Scholarly Papers (5)

1.

Fitting the Smile, Smart Parameters for SABR and Heston

Number of pages: 13 Posted: 31 Oct 2009
Pierre Gauthier and Pierre-Yves Henri Rivaille
Daiwa Capital Markets Europe and affiliation not provided to SSRN
Downloads 4,935 (1,478)

Abstract:

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Stochastic volatility, SABR, Heston, Smile volatility, Calibration, Optimization

Efficient Simulation of the Double Heston Model

Number of pages: 52 Posted: 18 Jul 2009 Last Revised: 30 Jan 2010
Pierre Gauthier and Dylan Possamai
Daiwa Capital Markets Europe and Ecole Polytechnique, Paris
Downloads 2,104 (6,259)
Citation 3

Abstract:

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double Heston model, stochastic volatility, equity options, characteristic function, discretization scheme

Efficient Simulation of the Double Heston Model

The IUP Journal of Computational Mathematics, Vol. IV, No. 3, September 2011, pp. 23-73
Posted: 06 Jul 2012
Dylan Possamaï and Pierre Gauthier
Columbia University and Daiwa Capital Markets Europe

Abstract:

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Double Heston model, Stochastic volatility, Equity options, Characteristic function, Discretization scheme

3.
Downloads 865 ( 25,977)
Citation 2

Efficient Simulation of the Wishart Model

Number of pages: 74 Posted: 17 Sep 2009 Last Revised: 25 Sep 2009
Pierre Gauthier and Dylan Possamai
Daiwa Capital Markets Europe and Ecole Polytechnique, Paris
Downloads 865 (25,562)
Citation 2

Abstract:

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Stochastic Volatility, Equity options, Multifactor model, Wishart model, Discretization scheme, Random Matrix, Heston model

Efficient Simulation of the Wishart Model

The IUP Journal of Computational Mathematics, Vol. V, No. 1, pp. 14-58, March 2012
Posted: 01 Oct 2012
Pierre Gauthier
Daiwa Capital Markets Europe

Abstract:

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stochastic volatility, equity options, multifactor model, wishart model, discretization scheme, random matrix, Heston model

Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities

Number of pages: 22 Posted: 28 Mar 2009 Last Revised: 07 Dec 2009
Eric Benhamou and Pierre Gauthier
A.I. Square Connect and Daiwa Capital Markets Europe
Downloads 383 (74,027)
Citation 1

Abstract:

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Variable annuity, Stochastic Volatility, Stochastic Interest rates

Impact of Stochastic Interest Rates and Stochastic Volatility on Variable Annuities

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 22 Posted: 09 Oct 2009 Last Revised: 08 Dec 2009
Eric Benhamou and Pierre Gauthier
A.I. Square Connect and Daiwa Capital Markets Europe
Downloads 368 (77,562)
Citation 1

Abstract:

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variable annuity, stochastic volatility, stochastic interest rates

Prices Expansion in the Wishart Model

Number of pages: 29 Posted: 20 Sep 2009 Last Revised: 29 Sep 2009
Pierre Gauthier and Dylan Possamai
Daiwa Capital Markets Europe and Ecole Polytechnique, Paris
Downloads 481 (56,091)
Citation 1

Abstract:

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Stochastic volatility, Wishart model, price approximation, stochastic correlation, probability change

Prices Expansion in the Wishart Model

The IUP Journal of Computational Mathematics, Vol. IV, No. 1, pp. 44-71, March 2011
Posted: 18 Jun 2011
Dylan Possamai and Pierre Gauthier
Ecole Polytechnique, Paris and Daiwa Capital Markets Europe

Abstract:

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stochastic volatility, wishart model, price approximation, stochastic correlation, probability change