Sergio Pulido

Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071

IBGBI 23 Boulevard de France

Évry Cedex, 91037

France

SCHOLARLY PAPERS

4

DOWNLOADS

490

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (4)

1.

The Jacobi Stochastic Volatility Model

Finance and Stochastics, Volume 22, Issue 3, Pages 667-700, 2018, Swiss Finance Institute Research Paper No. 16-35
Number of pages: 34 Posted: 21 May 2016 Last Revised: 30 Oct 2018
Damien Ackerer, Damir Filipović and Sergio Pulido
affiliation not provided to SSRN, Ecole Polytechnique Fédérale de Lausanne and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
Downloads 385 (79,056)
Citation 12

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Jacobi process, option pricing, polynomial model, stochastic volatility

2.

Markov Cubature Rules for Polynomial Processes

Forthcoming publication in Stochastic Processes and their Applications, Swiss Finance Institute Research Paper No. 16-79
Number of pages: 31 Posted: 27 Dec 2016 Last Revised: 13 Jun 2019
Damir Filipović, Martin Larsson and Sergio Pulido
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
Downloads 104 (267,623)

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Polynomial process; cubature rule; asymptotic moments; transition rate matrix; transition probabilities; American options

3.

Financial Models with Defaultable Numéraires

Mathematical Finance, Vol. 29, Issue 1, pp. 117-136, 2019
Number of pages: 20 Posted: 11 Jan 2019
Travis Fisher, Sergio Pulido and Johannes Ruf
Université Paris Sud-Paris Saclay, Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071 and London School of Economics & Political Science (LSE) - London School of Economics
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defaultable numéraire, devaluation, nonclassical valuation formulas

4.

The Effect of Trading Futures on Short Sale Constraints

Mathematical Finance, Vol. 25, Issue 2, pp. 311-338, 2015
Number of pages: 28 Posted: 04 Mar 2015
Robert A. Jarrow, Philip Protter and Sergio Pulido
Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
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short sale constraints, futures contracts, futures prices, complete markets, martingale representation, supermartingale measures, overpricing hypothesis, bubbles