Grégory Rayée

Université Libre de Bruxelles (ULB)

CP 114/04 Av FD Roosevelt 50

Brussels, 1050

Belgium

SCHOLARLY PAPERS

7

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2,158

SSRN CITATIONS
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Top 29,429

in Total Papers Citations

15

CROSSREF CITATIONS

23

Scholarly Papers (7)

1.

Vanna-Volga Methods Applied to FX Derivatives: From Theory to Market Practice

Number of pages: 28 Posted: 15 Apr 2009 Last Revised: 28 Apr 2010
affiliation not provided to SSRN, Université Libre de Bruxelles (ULB), affiliation not provided to SSRN and Université Libre de Bruxelles (ULB)
Downloads 825 (56,134)
Citation 10

Abstract:

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Vanna-Volga, Foreign Exchange, exotic options, market conventions

2.

Local Volatility Pricing Models for Long-Dated FX Derivatives

Number of pages: 22 Posted: 14 Jun 2010 Last Revised: 03 Apr 2012
Griselda Deelstra and Grégory Rayée
Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 363 (154,143)
Citation 8

Abstract:

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Local volatility, Stochastic volatility, Foreign Exchange,Stochastic interest rates, Calibration

3.

Multivariate FX Models with Jumps: Triangles, Quantos and Implied Correlation

Forthcoming, European Journal of Operational Research
Number of pages: 40 Posted: 14 Feb 2017
Laura Ballotta, Griselda Deelstra and Grégory Rayée
Bayes Business School (formerly Cass) - City, University of London, Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 278 (204,410)
Citation 4

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Option pricing, Calibration procedure, Implied correlation, Multivariate L´evy processes, Quanto products

4.

Quanto Implied Correlation in a Multi-Lévy Framework

Number of pages: 25 Posted: 24 Feb 2015 Last Revised: 22 Oct 2015
Laura Ballotta, Griselda Deelstra and Grégory Rayée
Bayes Business School (formerly Cass) - City, University of London, Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 269 (211,316)
Citation 1

Abstract:

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FX risk, implied correlation, multivariate Lévy processes, Quanto products, triangular relation, Variance Gamma process

5.

Smiles & Smirks: A Tale of Factors

Number of pages: 43 Posted: 06 Jun 2017 Last Revised: 08 Nov 2018
Laura Ballotta and Grégory Rayée
Bayes Business School (formerly Cass) - City, University of London and Université Libre de Bruxelles (ULB)
Downloads 258 (220,311)
Citation 3

Abstract:

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Stochastic Leverage, Stochastic Volatility, Time Changed Lévy Process, Affine, Out-Of-Sample

6.

Pricing Variable Annuity Guarantees in a Local Volatility Framework

Number of pages: 39 Posted: 04 Apr 2012
Grégory Rayée and Griselda Deelstra
Université Libre de Bruxelles (ULB) and Université Libre de Bruxelles (ULB)
Downloads 100 (489,183)
Citation 1

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local volatility, stochastic interest rates, variable annuity guarantees, GAO, GMIB

7.

Using Model-Independent Lower Bounds to Improve Pricing of Asian Style Options in Levy Markets

Astin Bulletin, Forthcoming
Number of pages: 44 Posted: 18 Jan 2014
Université Libre de Bruxelles (ULB), Université Libre de Bruxelles (ULB), Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 65 (630,385)

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Asian style options, conditional expectation, control variates, stochastic clock