O. Scaillet

University of Geneva GSEM and GFRI

Professor of Finance and Statistics

40 Boulevard du Pont d'Arve

Geneva 4, 1211

Switzerland

http://www.scaillet.ch

Swiss Finance Institute

40, Boulevard du Pont-d'Arve

40, Bd du Pont-d'Arve

1211 Geneva 4, CH-6900

Switzerland

SCHOLARLY PAPERS

49

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CITATIONS
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287

Scholarly Papers (49)

1.

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 08-18, Robert H. Smith School Research Paper No. RHS 06-043
Number of pages: 53 Posted: 05 Mar 2008 Last Revised: 03 Feb 2011
Laurent Barras, O. Scaillet and Russ Wermers
McGill University - Desautels Faculty of Management, University of Geneva GSEM and GFRI and University of Maryland - Robert H. Smith School of Business
Downloads 4,960 (1,014)
Citation 73

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Mutual Fund Performance, Multiple-Hypothesis Test, Luck, False Discovery Rate

2.

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

EFA 2008 Athens Meetings Paper, Swiss Finance Institute Research Paper No. 08-05
Number of pages: 61 Posted: 19 Mar 2008 Last Revised: 25 Jan 2012
Pierre Bajgrowicz and O. Scaillet
University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva GSEM and GFRI
Downloads 1,479 (8,734)
Citation 9

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Technical Trading, False Discovery Rate, Persistence, Transaction Costs

3.
Downloads 1,203 ( 13,418)
Citation 10

Theory and Calibration of Swap Market Models

FAME Working Paper No. 107
Number of pages: 42 Posted: 27 Feb 2005
BNP Paribas Fixed Income, University of Geneva GSEM and GFRI, JP Morgan and BNP Paribas Fixed Income
Downloads 1,171 (13,726)
Citation 10

Abstract:

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Swap market model, cap, swaption, calibration

Theory and Calibration of Swap Market Models

Mathematical Finance, Vol. 17, No. 1, pp. 111-141, January 2007
Number of pages: 31 Posted: 13 Dec 2006
BNP Paribas Fixed Income, BNP Paribas Fixed Income, University of Geneva GSEM and GFRI and JP Morgan
Downloads 32 (408,094)
Citation 10
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4.

Nonparametric Estimation of Copulas for Time Series

FAME Research Paper No. 57
Number of pages: 37 Posted: 12 Mar 2003
O. Scaillet and Jean-David Fermanian
University of Geneva GSEM and GFRI and Ensae-Crest
Downloads 981 (14,647)
Citation 16

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5.

Pricing American Options under Stochastic Volatility and Stochastic Interest Rates

Swiss Finance Institute Research Paper No. 07-25
Number of pages: 34 Posted: 01 Mar 2007 Last Revised: 21 Sep 2009
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 972 (16,177)
Citation 7

Abstract:

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American options, stochastic volatility, stochastic interest rates, asymptotic approximation.

6.

Some Statistical Pitfalls in Copula Modeling for Financial Applications

FAME Working Paper No. 108
Number of pages: 24 Posted: 28 Jun 2004
Jean-David Fermanian and O. Scaillet
Ensae-Crest and University of Geneva GSEM and GFRI
Downloads 809 (21,694)
Citation 9

Abstract:

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Copulas, dependence measures, risk management

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

Swiss Finance Institute Research Paper No. 06-8
Number of pages: 45 Posted: 21 Jun 2006
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 646 (32,823)
Citation 18

Abstract:

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility

The Review of Financial Studies, Vol. 20, Issue 2, pp. 427-459, 2007
Posted: 17 Jul 2008
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI

Abstract:

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8.

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Swiss Finance Institute Research Paper No. 11-36
Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 06 Mar 2015
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva GSEM and GFRI and University of Zurich
Downloads 484 (36,159)
Citation 4

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jumps, high-frequency data, spurious detections, jumps dynamics, news releases, cojumps

9.

Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility

EFA 2003 Annual Conference Paper No. 163; FAME Research Paper Series
Number of pages: 60 Posted: 16 May 2003
Peng Cheng and O. Scaillet
FAME and University of Geneva GSEM and GFRI
Downloads 465 (48,169)
Citation 13

Abstract:

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Linear-quadratic models, affine models, jump-diffusions, generalized Fourier transform, option pricing, stochastic volatility

10.

Optimal Asset Allocation for Pension Funds Under Mortality Risk During the Accumulation and Decumulation Phases

FAME Research Paper No. 66
Number of pages: 32 Posted: 30 May 2003
Catholic University of Louvain (UCL) - Institut de Recherches Economiques et Sociales (IRES), University of Brescia - Department of Economics and University of Geneva GSEM and GFRI
Downloads 446 (51,763)
Citation 2

Abstract:

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pension fund, mortality risk, asset allocation

11.

Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets

Swiss Finance Institute Research Paper No. 11-40
Number of pages: 70 Posted: 18 Mar 2011 Last Revised: 29 Oct 2015
University of Lugano and Swiss Finance Institute, University of Lugano and University of Geneva GSEM and GFRI
Downloads 406 (60,395)
Citation 1

Abstract:

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large panel, factor model, risk premium, asset pricing, sparsity, thresholding.

12.

A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

Number of pages: 56 Posted: 14 Dec 2003
Alexey Medvedev and O. Scaillet
Lombard Odier & Cie and University of Geneva GSEM and GFRI
Downloads 397 (57,265)
Citation 9

Abstract:

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Option pricing, stochastic volatility, asymptotic approximation, jump-diffusion

13.

On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities

FAME Research Paper No. 83
Number of pages: 30 Posted: 10 Jun 2003
Olivier Renault and O. Scaillet
University of Warwick Business School - Financial Econometrics Research Centre and University of Geneva GSEM and GFRI
Downloads 391 (57,421)
Citation 10

Abstract:

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default, recovery, kernel estimation, credit risk

14.

Option Pricing with Discrete Rebalancing

FAME Research Paper No. 55
Number of pages: 40 Posted: 25 Mar 2003
University of Geneva GSEM and GFRI, University of Cergy-Pontoise - ThEMA and University of Warwick Business School - Financial Econometrics Research Centre
Downloads 341 (72,185)

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weak convergence, incomplete market, option pricing, minimal martin-gale measure, discrete rebalancing, marked point process

15.

Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements

FAME Research Working Paper No. 89
Number of pages: 40 Posted: 17 Sep 2003
Jean-David Fermanian and O. Scaillet
Ensae-Crest and University of Geneva GSEM and GFRI
Downloads 326 (70,268)
Citation 1

Abstract:

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Value at Risk, Expected Shortfall, Sensitivity, Risk Management, Credit Risk, Netting

16.

Local Transformation Kernel Density Estimation of Loss Distributions

Swiss Finance Institute Research Paper No. 32
Number of pages: 37 Posted: 26 Nov 2006 Last Revised: 17 Jul 2008
affiliation not provided to SSRN, University of Lausanne - Institute of Banking & Finance (IBF), University of Geneva GSEM and GFRI and City University London - Cass Business School
Downloads 276 (91,218)
Citation 2

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Actuarial loss models, Transformation, Champernowne distribution, asymmetric kernels, local likelihood estimation

17.

Testing for Equality between Two Copulas

Swiss Finance Institute Research Paper No. 07-24
Number of pages: 24 Posted: 24 Sep 2007
Bruno Remillard and O. Scaillet
Department of Decision Sciences, HEC Montreal and University of Geneva GSEM and GFRI
Downloads 272 (91,566)
Citation 5

Abstract:

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Copula, Cramér-von Mises statistic, empiricalprocess, pseudo-observations, multipliercentrallimittheorem, p-value.

Valuing American Options Using Fast Recursive Projections

Number of pages: 69 Posted: 25 Jun 2012 Last Revised: 15 Mar 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Geneva and University of Geneva GSEM and GFRI
Downloads 220 (117,904)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

Valuing American Options Using Fast Recursive Projections

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 02 Jun 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Geneva and University of Geneva GSEM and GFRI
Downloads 37 (387,374)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

19.

Robust Resampling Methods for Time Series

Swiss Finance Institute Research Paper No. 09-38
Number of pages: 49 Posted: 14 Oct 2009 Last Revised: 27 Jan 2013
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 251 (88,767)
Citation 2

Abstract:

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Subsampling, bootstrap, breakdown point, robustness, time series

20.

A Latent Factor Model for Ordinal Data to Measure Multivariate Predictive Ability of Financial Market Movements

FAME Research Paper No. 159
Number of pages: 44 Posted: 28 Nov 2005
University of Geneva - HEC, University of Geneva GSEM and GFRI and University of Geneva - HEC
Downloads 234 (108,571)

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structural equation model, latent variable, generalised linear model, factor analysis, multinomial logit, forecasts, LAMLE, canonical correlation

21.

Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data

Swiss Finance Institute Research Paper No. 08-42
Number of pages: 21 Posted: 09 Dec 2008 Last Revised: 23 Dec 2008
Amine Lahiani and O. Scaillet
Université Paris Ouest - Nanterre, La Défense - EconomiX and University of Geneva GSEM and GFRI
Downloads 230 (108,571)

Abstract:

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Threshold ARFIMA, LM test, Asymmetric time series

22.

Tikhonov Regularization for Nonparametric Instrumental Variable Estimators

Swiss Finance Institute Research Paper 06-30
Number of pages: 62 Posted: 26 Nov 2006 Last Revised: 23 Aug 2011
Patrick Gagliardini and O. Scaillet
University of Lugano and Swiss Finance Institute and University of Geneva GSEM and GFRI
Downloads 200 (122,231)
Citation 5

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Nonparametric Estimation, Ill-posed Inverse Problems, Tikhonov Regularization, Endogeneity, Instrumental Variable

23.

Robust Subsampling

Swiss Finance Institute Research Paper No. 06-33
Number of pages: 52 Posted: 26 Nov 2006 Last Revised: 11 Aug 2011
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 187 (132,811)
Citation 5

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Subsampling, bootstrap, breakdown point, robustness

24.

Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

Swiss Finance Institute Research Paper No. 08-03
Number of pages: 32 Posted: 04 Feb 2008 Last Revised: 07 Sep 2011
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Geneva GSEM and GFRI and University of Lugano and Swiss Finance Institute
Downloads 186 (134,092)
Citation 5

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Nonparametric Quantile Regression, Instrumental Variable, Ill-Posed Inverse Problems, Tikhonov Regularization, Nonlinear Pricing Curve.

25.

Kernel Based Goodness-of-Fit Test for Copulas with Fixed Smoothing Parameters

FAME Research Paper No. 145
Number of pages: 17 Posted: 13 Sep 2005
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 178 (143,094)
Citation 3

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Nonparametric, Copula density, Goodness-of-fit test, U-statistic

26.

Testing for Stochastic Dominance Efficiency

Number of pages: 28 Posted: 15 Sep 2005
Nikolas L. Topaloglou and O. Scaillet
HEC Genève and University of Geneva GSEM and GFRI
Downloads 173 (140,999)
Citation 4

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Nonparametric, Stochastic Ordering, Dominance Efficiency, Linear Programming, Mixed Integer Programming, Simulation, Bootstrap

27.

A Specification Test for Nonparametric Instrumental Variable Regression

Swiss Finance Institute Research Paper No. 07-13
Number of pages: 49 Posted: 11 May 2007 Last Revised: 21 Oct 2008
Patrick Gagliardini and O. Scaillet
University of Lugano and Swiss Finance Institute and University of Geneva GSEM and GFRI
Downloads 157 (156,939)
Citation 6

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Specification Test, Nonparametric Regression, Instrumental, Variables, Minimum Distance, Tikhonov Regularization, Ill-posed Inverse Problems, Generalized Method of Moments, Bootstrap, Engel Curve

28.

Assessing Multivariate Predictors of Financial Market Movements: A Latent Factor Frame Work for Ordinal Data

Swiss Finance Institute Research Paper No. 08-45
Number of pages: 41 Posted: 23 Dec 2008
University of Geneva - HEC, University of Geneva GSEM and GFRI and University of Geneva - HEC
Downloads 145 (165,828)
Citation 1

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Latent variable, generalized linear model, factor analysis, multinomial logit, forecasts, LAMLE, Laplace approximation

29.

A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence

Number of pages: 19 Posted: 20 Feb 2005
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 138 (146,690)
Citation 5

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Nonparametric, Positive Quadrant Dependence, Copula, Risk Management, Loss Severity Distribution, Bootstrap, Multiplier Method, Empirical Process

30.

Multivariate Wavelet-based Shape Preserving Estimation for Dependent Observations

FAME Research Paper No. 144
Number of pages: 39 Posted: 01 Jun 2005
Antonio Cosma, O. Scaillet and Rainer von Sachs
Université du Luxembourg, University of Geneva GSEM and GFRI and Catholic University of Louvain - Department of Statistics
Downloads 136 (177,433)

Abstract:

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Conditional quantile, time series, shape preserving wavelet estimation, B-splines, multivariate process.

31.
Downloads 129 (189,514)
Citation 6

Nonparametric Tests for Positive Quadrant Dependence

FAME Research Paper No. 44
Number of pages: 39 Posted: 25 May 2002
Michel Denuit and O. Scaillet
Catholic University of Louvain and University of Geneva GSEM and GFRI
Downloads 129 (190,150)
Citation 6

Abstract:

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Nonparametric Stochastic Ordering, Positive Quadrant Dependence, Positive Orthant Dependence, Copula, Inequality Constraint Test, Risk Management, Loss Severity Distribution

Nonparametric Tests for Positive Quadrant Dependence

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 422-450, 2004
Posted: 29 Feb 2008
Michel Denuit and O. Scaillet
Catholic University of Louvain and University of Geneva GSEM and GFRI

Abstract:

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copula, inequality constraint test, nonparametric, positive quadrant dependence, risk management

32.

Weak Convergence of Hedging Strategies of Contingent Claims

FAME Research Paper Number 39
Number of pages: 35 Posted: 25 May 2002
Jean-Luc Prigent and O. Scaillet
University of Cergy-Pontoise - ThEMA and University of Geneva GSEM and GFRI
Downloads 121 (195,520)
Citation 1

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Weak convergence, incomplete financial markets, locally risk-minimizing strategy, hedging strategy, minimal martingale measure

33.

Predictability Hidden by Anomalous Observations

Swiss Finance Institute Research Paper No. 13-05
Number of pages: 62 Posted: 23 Mar 2013 Last Revised: 05 Mar 2014
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 120 (180,538)
Citation 1

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Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness

34.

Testing for Concordance Ordering

FAME Research Paper No. 41
Number of pages: 42 Posted: 24 May 2002
Ana C. Cebrian, Michel Denuit and O. Scaillet
University of Zaragoza, Catholic University of Louvain and University of Geneva GSEM and GFRI
Downloads 108 (210,919)
Citation 2

Abstract:

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Nonparametric, Concordance Ordering, Quadrant Dominance, Orthant Dominance, Copula, Inequality Constraint Tests, Risk Management, Loss Severity Distribution

35.

Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters

FAME Research Paper No. 145
Number of pages: 14 Posted: 31 May 2005
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 104 (219,481)
Citation 3

Abstract:

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Nonparametric, Copula density, Goodness-of-fit test, U-statistic

36.

Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels

Swiss Finance Institute Research Paper No. 11-32
Number of pages: 32 Posted: 22 Aug 2011 Last Revised: 16 Apr 2014
Queen Mary University of London - Economics Department, University of Geneva GSEM and GFRI and UNSW Australia Business School, School of Economics
Downloads 72 (246,775)
Citation 1

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asymmetric kernel, gamma kernel, inverse Gaussian kernel, nonparametric testing, reciprocal inverse Gaussian kernel, symmetry

37.

Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations

Number of pages: 57 Posted: 12 Jun 2012
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 70 (246,775)
Citation 1

Abstract:

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38.

Recovering Nonlinear Dynamics from Option Prices

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 34 Posted: 14 Oct 2011
University of Geneva, University of Geneva GSEM and GFRI and affiliation not provided to SSRN
Downloads 67 (275,958)

Abstract:

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Inverse and ill-posed problem, volatility dynamics, option valuation

39.

A Kolmogorov-Smirnov Type Test for Shortfall Dominance Against Parametric Alternatives

Number of pages: 21 Posted: 20 May 2005
Catholic University of Louvain, University of Geneva GSEM and GFRI and Independent
Downloads 67 (289,305)

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Right-spread order, Excess-wealth order, New better than used in expectation, Bootstrap, Reliability, CEO compensation, Flight delay

40.

Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators

Number of pages: 62 Posted: 30 Jun 2004
University of Lausanne - Institute of Banking & Finance (IBF), University of Geneva GSEM and GFRI and Amherst College
Downloads 57 (306,147)
Citation 3

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Semiparametric density estimation, asymmetric kernel, income distribution, loss distribution, health insurance, specification testing

On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints

Swiss Finance Institute Research Paper No. 16-06
Number of pages: 6 Posted: 05 Feb 2016
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 22 (459,889)

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Nonparametric Estimation, Instrumental Variable, Ill-Posed Inverse Problems

On Ill‐Posedness of Nonparametric Instrumental Variable Regression with Convexity Constraints

The Econometrics Journal, Vol. 19, Issue 2, pp. 232-236, 2016
Number of pages: 5 Posted: 19 Oct 2016
O. Scaillet
University of Geneva GSEM and GFRI
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Ill‐posed inverse problems, Instrumental variable, Nonparametric estimation

42.

Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall

Mathematical Finance, Vol. 14, pp. 115-129, January 2004
Number of pages: 15 Posted: 21 Mar 2004
O. Scaillet
University of Geneva GSEM and GFRI
Downloads 13 (487,327)
Citation 18
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43.

Linear-Quadratic Jump-Diffusion Modeling

Mathematical Finance, Vol. 17, No. 4, pp. 575-598, October 2007
Number of pages: 24 Posted: 14 Sep 2007
O. Scaillet and Peng Cheng
University of Geneva GSEM and GFRI and Barclays Investment Bank
Downloads 9 (507,924)
Citation 25
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44.

High-Frequency Jump Analysis of the Bitcoin Market

Swiss Finance Institute Research Paper No. 17-19
Number of pages: 30 Posted: 10 Jun 2017 Last Revised: 26 Jun 2017
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads 0 (47,327)

Abstract:

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Jumps, Liquidity, High-frequency data, Bitcoin

45.

Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps

Swiss Finance Institute Research Paper No. 16-73
Number of pages: 71 Posted: 09 Dec 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Geneva and University of Geneva GSEM and GFRI
Downloads 0 (284,713)

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46.

A Diagnostic Criterion for Approximate Factor Structure

Swiss Finance Institute Research Paper No. 16-51
Number of pages: 82 Posted: 03 Aug 2016 Last Revised: 09 Aug 2017
University of Lugano and Swiss Finance Institute, University of Lugano and University of Geneva GSEM and GFRI
Downloads 0 (263,679)

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large panel, approximate factor model, asset pricing, model selection, interactive fixed effects

47.

Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Swiss Finance Institute Research Paper No. 16-41
Number of pages: 20 Posted: 06 Jul 2016
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Downloads 0 (213,657)

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

48.

Bartlett Identities Tests

Working Paper No. 9919
Posted: 04 May 2000
University College London - Department of Economics, University of Geneva GSEM and GFRI, Université de Mons-Hainaut and University of Toronto - Department of Economics

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49.

A Correction Note On The First Passage Time Of An Ornstein-Uhlenbeck Process To A Boundary

Finance and Stochastics, Vol. 4, Iss. 1
Posted: 15 Jan 2000
Boris Leblanc, O. Scaillet and Olivier Renault
Banque Nationale de Paris, University of Geneva GSEM and GFRI and University of Warwick Business School - Financial Econometrics Research Centre

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