23 Avenue Guy de Collongue
Ecully, 69132
France
EMLYON Business School
SSRN RANKINGS
in Total Papers Downloads
Option pricing, Risk-neutral distribution, Implied volatility smile
Scope 3 emissions, portfolio optimization, sustainable finance
Multi-factor stochastic volatility, Futures curve modelling, Option pricing, Calendar spread options, Crude oil, Fourier inversion methods
Stochastic Volatility, Model Selection, Agricultural Commodities, Seasonal Volatility
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
Predictive Regressions, Panel Models, Error Decomposition, Out-of-Sample Accuracy, Distribution Shifts
Risk Management, Banking, Financial Modeling, Simulation, Bernstein Copulas, Random Matrices
Risk Management, Model Risk, Robustness and Sensitivity Analysis, Variance Swap, Forward-start option
Relative entropy, Information, Option contracts, Implied distribution
Bivariate Contracts, Implied Correlation, Risk Management
Bernstein Copulas, Multi-asset Derivative Pricing, Approximation, Multivariate Distributions
