Ghislain Vong

Deutsche Bank AG - Global Equity Derivatives

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 20,687

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Top 20,687

in Total Papers Downloads

3,412

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (6)

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 1,685 (14,423)
Citation 1

Abstract:

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

2.

Turbo-Charged Local Stochastic Volatility Models

Number of pages: 12 Posted: 20 Jan 2013 Last Revised: 11 Mar 2013
Ghislain Vong
Deutsche Bank AG - Global Equity Derivatives
Downloads 591 (63,374)

Abstract:

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derivatives, LSV models, stochastic volatility, local volatility, calibration, pricing, PDE, Markov chain

3.

Quanto Derivatives in Local Volatility Models

2014 Global Derivatives Conference, Amsterdam
Number of pages: 23 Posted: 22 Oct 2014
Ghislain Vong and Mateo Rojas-Carulla
Deutsche Bank AG - Global Equity Derivatives and Independent
Downloads 472 (83,737)
Citation 1

Abstract:

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quanto options, local volatility, stochastic expansion

4.

On the Valuation of Equity Options with Dividend-Protection Features

Number of pages: 5 Posted: 11 Apr 2019
Ghislain Vong
Deutsche Bank AG - Global Equity Derivatives
Downloads 326 (127,605)

Abstract:

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Corporate Equity Derivatives, Dividend Protected Options

5.

A Simple Pricing Model for Plain-Vanilla Dividend Futures Options

Number of pages: 6 Posted: 15 Jun 2019
Ghislain Vong
Deutsche Bank AG - Global Equity Derivatives
Downloads 178 (228,868)

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Dividend futures options, Black-Scholes, pricing, equity derivatives, Eurostoxx

6.

An Analysis of the Equity Local Volatility Model with Affine Dividends

Number of pages: 8 Posted: 07 Dec 2018
Ghislain Vong
Deutsche Bank AG - Global Equity Derivatives
Downloads 160 (250,414)

Abstract:

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derivatives, equity, local, volatility, dividend, modeling, stochastic