Gilles Boya

Natixis

Paris

France

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

Local Volatility: Smooth Calibration and Fast Usage

Number of pages: 14 Posted: 20 Feb 2012 Last Revised: 31 Dec 2015
Adil Reghai, Gilles Boya and Ghislain Vong
Natixis, Natixis and Deutsche Bank AG - Global Equity Derivatives
Downloads 1,721 (14,183)
Citation 1

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Local volatility, calibration, fixed point algorithm, Operator Methods, Fast Discrete Random Number simulation, Magnus

2.

An Accurate Pricing Formula for Vanilla Options in a Cash Dividend Framework with Linear Algorithmic Complexity

Number of pages: 14 Posted: 13 Jul 2016 Last Revised: 13 Dec 2016
Gilles Boya
Natixis
Downloads 287 (147,795)

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cash dividend, vanilla options

3.

Understanding the Correlation Skew Modeling: Local Correlation versus Common Jumps Model

Number of pages: 19 Posted: 16 Dec 2015 Last Revised: 24 Apr 2017
Gilles Boya
Natixis
Downloads 250 (169,658)

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Correlation Skew, Local Correlation, Common Jumps Model

4.

Smooth Calibration in Local Volatility with Jumps: The Stock Jumps, Local Volatility Doesn't

Number of pages: 11 Posted: 06 Oct 2015 Last Revised: 30 Sep 2016
Gilles Boya
Natixis
Downloads 198 (211,241)

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local volatility calibration, jump model, evolution operator theory

5.

Local Volatility with Multi-Factor Gaussian Short Rate

Number of pages: 11 Posted: 12 Feb 2021
Gilles Boya
Natixis
Downloads 101 (356,662)

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local volatility, stochastic rates, hybrid product