Jacques Lévy Véhel

Regularity Team Inria Saclay

Research Director

Paris

France

SCHOLARLY PAPERS

4

DOWNLOADS

146

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

A Conditional Equity Risk Model for Regulatory Assessment

Number of pages: 26 Posted: 08 Feb 2016 Last Revised: 27 Mar 2016
Anthony Floryszczak, Jacques Lévy Véhel and Mohamed Majri
SMABTP, Regularity Team Inria Saclay and SMABTP
Downloads 89 (342,986)

Abstract:

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Market consistency, pro-cyclicality, Solvency Capital Requirement, stochastic functional differential equation

2.

A Model Investigating Incentives for Illegal Cultural Goods Sharing Sites to Become Legal

Number of pages: 32 Posted: 10 Jan 2015
Regularity Team Inria Saclay, Société Générale and Ecole Normale Supérieure (ENS) de Lyon
Downloads 34 (536,046)

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Copyright, Piracy, cultural goods industry, digitization, business models

3.

Regulation Risk

North American Actuarial Journal Vol. 24, N°3, p. 463–474, 2020
Number of pages: 24 Posted: 20 Apr 2020 Last Revised: 02 Dec 2020
Olivier Le Courtois, Jacques Lévy Véhel and Christian Pierre Walter
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control, Regularity Team Inria Saclay and Foundation Maison des Sciences de l'Homme (FMSH) - Collège d'études mondiales
Downloads 23 (600,951)
Citation 1

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4.

Multifractional Stochastic Volatility Models

Mathematical Finance, Vol. 24, Issue 2, pp. 364-402, 2014
Number of pages: 39 Posted: 06 Mar 2014
Sylvain Corlay, Joachim Lebovits and Jacques Lévy Véhel
Université Paris VI Pierre et Marie Curie, CNRS and Regularity Team Inria Saclay
Downloads 0 (786,732)
Citation 1
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Abstract:

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Hull & White model, functional quantization, vector quantization, Karhunen‐Loève, Gaussian process, fractional Brownian motion, multifractional Brownian motion, white noise theory, S‐transform, Wick‐Itô integral, stochastic differential equations