Sebastien Gurrieri

Mizuho Securities Co. Ltd - Mizuho International

London

United Kingdom

SCHOLARLY PAPERS

4

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CITATIONS
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Top 40,246

in Total Papers Citations

4

Scholarly Papers (4)

1.

Calibration Methods of Hull-White Model

Number of pages: 43 Posted: 29 Nov 2009 Last Revised: 31 May 2010
Sebastien Gurrieri, Masaki Nakabayashi and Tony Wong
Mizuho Securities Co. Ltd - Mizuho International, Mizuho Securities Co. Ltd and affiliation not provided to SSRN
Downloads 4,660 (892)
Citation 1

Abstract:

Hull-White, calibration, time-dependent, swaption

2.

A Class of Term Structures for SVI Implied Volatility

Number of pages: 14 Posted: 08 Mar 2011
Sebastien Gurrieri
Mizuho Securities Co. Ltd - Mizuho International
Downloads 618 (21,804)
Citation 2

Abstract:

SVI, term structure, no-arbitrage, calendar spread, local volatility, implied volatility

3.

An Analysis of Sobol Sequence and the Brownian Bridge

Number of pages: 39 Posted: 01 Nov 2011
Sebastien Gurrieri
Mizuho Securities Co. Ltd - Mizuho International
Downloads 410 (35,550)
Citation 1

Abstract:

Sobol sequence, Brownian bridge, Quasi Monte Carlo, parallel programming, CUDA

4.

Monte-Carlo Calibration of Hybrid Local Volatility Models

Number of pages: 42 Posted: 19 Jul 2012
Sebastien Gurrieri
Mizuho Securities Co. Ltd - Mizuho International
Downloads 259 (68,953)

Abstract:

hybrid, local volatility, dupire, calibration, Monte-Carlo, CUDA, GPU