Dylan Possamai

Ecole Polytechnique, Paris

Ecole Polytechnique

Palaiseau, 91128

France

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 13,402

SSRN RANKINGS

Top 13,402

in Total Papers Downloads

3,504

CITATIONS
Rank 18,324

SSRN RANKINGS

Top 18,324

in Total Papers Citations

26

Scholarly Papers (5)

1.
Downloads 2,108 ( 6,457)
Citation 8

Efficient Simulation of the Double Heston Model

Number of pages: 52 Posted: 18 Jul 2009 Last Revised: 30 Jan 2010
Pierre Gauthier and Dylan Possamai
Daiwa Capital Markets Europe and Ecole Polytechnique, Paris
Downloads 2,108 (6,326)
Citation 8

Abstract:

Loading...

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

2.
Downloads 865 ( 26,287)
Citation 6

Efficient Simulation of the Wishart Model

Number of pages: 74 Posted: 17 Sep 2009 Last Revised: 25 Sep 2009
Pierre Gauthier and Dylan Possamai
Daiwa Capital Markets Europe and Ecole Polytechnique, Paris
Downloads 865 (25,861)
Citation 6

Abstract:

Loading...

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 Possamai
Daiwa Capital Markets Europe and Ecole Polytechnique, Paris
Downloads 481 (56,713)
Citation 4

Abstract:

Loading...

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 Possamai and Pierre Gauthier
Ecole Polytechnique, Paris and Daiwa Capital Markets Europe

Abstract:

Loading...

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 Possamai
Banque de France and Ecole Polytechnique, Paris
Downloads 50 (383,086)
Citation 11

Abstract:

Loading...

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 Possamai and Chao Zhao
Ecole Polytechnique, Paris, Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique
Downloads 0 (660,893)
Citation 4
  • Add to Cart

Abstract:

Loading...

second‐order backward stochastic differential equation, quadratic growth, robust utility maximization, volatility uncertainty