Sebastien Gurrieri

Mizuho Securities Co. Ltd - Mizuho International

London

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 4,643

SSRN RANKINGS

Top 4,643

in Total Papers Downloads

8,618

SSRN RANKINGS

Top 39,969

in Total Papers Citations

4

!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (5)

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 6,504 (925)

Abstract:

Loading...

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 965 (22,306)

Abstract:

Loading...

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 701 (34,917)

Abstract:

Loading...

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 401 (71,185)

Abstract:

Loading...

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

5.

Applications of the Replication Method for XVAs

Number of pages: 45 Posted: 02 Oct 2018
Sebastien Gurrieri
Mizuho Securities Co. Ltd - Mizuho International
Downloads 47 (391,493)

Abstract:

Loading...

XVAs, Replication, FVA, DVA2, Funding Invariance