Antoine Lejay

University of Lorraine

Lorraine

France

INRIA

Domaine de Voluceau

Rocquencourt

Chesnay, 78153

France

http://www.iecl.univ-lorraine.fr/~Antoine.Lejay/

SCHOLARLY PAPERS

2

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43

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0

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Scholarly Papers (2)

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1.

A Threshold Model for Local Volatility: Evidence of Leverage and Mean Reversion Effects on Historical Data

Number of pages: 28 Posted: 30 Jan 2018 Last Revised: 24 Feb 2019
Antoine Lejay and Paolo Pigato
University of Lorraine and University of Rome Tor Vergata - Department of Economics and Finance
Downloads 43 (787,166)
Citation 1

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Oscillating Brownian motion, leverage effect, realized volatility, mean-reversion, Self-Exciting Threshold Autoregressive model, Regime-Switch

2.

Approximation of CVaR Minimization for Hedging under Exponential-Lévy Models

J. Comput. Appl. Math. 326 (2017), 171–182.
Posted: 02 Aug 2017 Last Revised: 14 Jan 2018
Madalina Deaconu, Antoine Lejay and Khaled Salhi
Independent, University of Lorraine and Independent

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Conditional Value-at-Risk, Exponential-Lévy Models, Incomplete Market, Neyman–Pearson lemma, Esscher, Martingale Measure, Fast Fourier ttransform