Dylan Possamaï

ETH Zürich

Raemistrasse 101

Raemistr. 101

Zurich, 8092

Switzerland

SCHOLARLY PAPERS

5

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3,634

SSRN CITATIONS
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Top 29,588

in Total Papers Citations

6

CROSSREF CITATIONS

24

Scholarly Papers (5)

1.
Downloads 2,214 ( 8,460)
Citation 11

Efficient Simulation of the Double Heston Model

Number of pages: 52 Posted: 18 Jul 2009 Last Revised: 30 Jan 2010
Pierre Gauthier and Dylan Possamaï
Daiwa Capital Markets Europe and ETH Zürich
Downloads 2,214 (8,315)
Citation 11

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

2.
Downloads 883 ( 34,341)
Citation 8

Efficient Simulation of the Wishart Model

Number of pages: 74 Posted: 17 Sep 2009 Last Revised: 25 Sep 2009
Pierre Gauthier and Dylan Possamaï
Daiwa Capital Markets Europe and ETH Zürich
Downloads 883 (33,893)
Citation 8

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

Prices Expansion in the Wishart Model

Number of pages: 29 Posted: 20 Sep 2009 Last Revised: 29 Sep 2009
Pierre Gauthier and Dylan Possamaï
Daiwa Capital Markets Europe and ETH Zürich
Downloads 485 (74,448)
Citation 4

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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 Possamaï and Pierre Gauthier
ETH Zürich and Daiwa Capital Markets Europe

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

4.

A Mathematical Treatment of Bank Monitoring Incentives

Banque de France Working Paper No. 378
Number of pages: 38 Posted: 15 May 2012
Henri Pagès and Dylan Possamaï
Banque de France and ETH Zürich
Downloads 52 (476,437)
Citation 10

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Default Correlation, Dynamic Moral Hazard, Forward-Backward Stochastic Differential Equations

5.

Robust Utility Maximization in Nondominated Models with 2BSDE: The Uncertain Volatility Model

Mathematical Finance, Vol. 25, Issue 2, pp. 258-287, 2015
Number of pages: 30 Posted: 04 Mar 2015
Anis Matoussi, Dylan Possamaï and Chao Zhao
Ecole Polytechnique, Paris, ETH Zürich and Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique
Downloads 0 (818,024)
Citation 4
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second‐order backward stochastic differential equation, quadratic growth, robust utility maximization, volatility uncertainty