23 Avenue Guy de Collongue
Ecully, 69132
France
emlyon business school
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Option pricing, Risk-neutral distribution, Implied volatility smile
Multi-factor stochastic volatility, Futures curve modelling, Option pricing, Calendar spread options, Crude oil, Fourier inversion methods
Finance, Agricultural Commodities, Seasonal Volatility, Samuelson Effect, Kalman Filter
Risk Management, Risk Measure, Dependence Modelling,Two-Asset Derivative, Spread Option, Implied Correlation, Copula Function
Arbitrage, Multi-Asset Derivative, Incomplete Market, Risk-Neutral Measure, Multivariate Distribution, Copula Function
Multi-Asset Derivative; Arbitrage; Incomplete Market; Risk-Neutral Measure; Multivariate Distribution; Copula Function
Risk Management, Banking, Financial Modeling, Simulation, Bernstein Copulas, Random Matrices
Risk Management, Model Risk, Robustness and Sensitivity Analysis, Variance Swap, Forward-start option
Bernstein Copulas, Multi-asset Derivative Pricing, Approximation, Multivariate Distributions