Sebastien Gurrieri

affiliation not provided to SSRN

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 6,883

SSRN RANKINGS

Top 6,883

in Total Papers Downloads

13,140

TOTAL CITATIONS

7

Scholarly Papers (5)

Actions:
Email selected abstracts
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
affiliation not provided to SSRN, Mizuho Securities Co. Ltd and affiliation not provided to SSRN
Downloads 9,700 (1,256)

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
affiliation not provided to SSRN
Downloads 1,363 (31,033)
Citation 5

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
affiliation not provided to SSRN
Downloads 1,289 (33,655)
Citation 1

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
affiliation not provided to SSRN
Downloads 605 (94,403)
Citation 1

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
affiliation not provided to SSRN
Downloads 183 (344,945)

Abstract:

Loading...

XVAs, Replication, FVA, DVA2, Funding Invariance