Jerome Detemple

Boston University - Department of Finance & Economics

595 Commonwealth Avenue

Boston, MA 02215

United States

Center for Interuniversity Research and Analysis on Organization (CIRANO)

2020 rue University, 25th Floor

Montreal, Quebec H3C 3J7

Canada

SCHOLARLY PAPERS

16

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CITATIONS
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Top 5,270

in Total Papers Citations

98

Scholarly Papers (16)

1.
Downloads 1,787 ( 6,389)
Citation 83

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Jerome Detemple, René Garcia and Marcel Rindisbacher
Boston University - Department of Finance & Economics, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University
Downloads 1,787 (6,250)
Citation 83

Abstract:

A Monte Carlo Method for Optimal Portfolios

Journal of Finance, Vol. 58, pp. 401-446, 2003
Posted: 04 Aug 2003
Jerome Detemple, René Garcia and Marcel Rindisbacher
Boston University - Department of Finance & Economics, Université de Montréal - CIREQ - Département de sciences économiques and Questrom School of Business, Boston University

Abstract:

2.
Downloads 1,032 ( 15,675)
Citation 4

Life Cycle Finance and the Design of Pension Plans

Annual Review of Financial Economics, Forthcoming, Boston U. School of Management Research Paper Series No. 2009-5
Number of pages: 54 Posted: 30 Apr 2009 Last Revised: 06 Apr 2010
Zvi Bodie, Jerome Detemple and Marcel Rindisbacher
Boston University - Department of Finance & Economics, Boston University - Department of Finance & Economics and Questrom School of Business, Boston University
Downloads 1,032 (15,384)
Citation 4

Abstract:

Life cycle finance, portfolio choice, pension, consumption, leisure

Life-Cycle Finance and the Design of Pension Plans

Annual Review of Financial Economics, Vol. 1, pp. 249-286, 2009
Posted: 04 Jun 2010
Zvi Bodie and Jerome Detemple
Boston University - Department of Finance & Economics and Boston University - Department of Finance & Economics

Abstract:

3.

Optimal Portfolio Allocations with Hedge Funds

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 64 Posted: 24 Oct 2010
Jerome Detemple, Marcel Rindisbacher and René Garcia
Boston University - Department of Finance & Economics, Questrom School of Business, Boston University and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 322 (63,367)

Abstract:

Asset Allocation, Hedge Funds, Performance Measurement, Market Timing, Market Price of Risk

Asset Pricing with Regime-Dependent Preferences and Learning

Swiss Finance Institute Research Paper No. 13-44
Number of pages: 79 Posted: 22 Aug 2013 Last Revised: 28 Oct 2013
Tony Berrada, Jerome Detemple and Marcel Rindisbacher
University of Geneva, Boston University - Department of Finance & Economics and Questrom School of Business, Boston University
Downloads 172 (139,449)

Abstract:

Asset pricing puzzles, regime-dependent preferences, incomplete information, equity premium, riskless rate, equity volatility, term structure, bond volatility, dividend strips, implied recession probability, recession detection

Asset Pricing with Regime-Dependent Preferences and Learning

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 82 Posted: 04 Oct 2013 Last Revised: 15 Aug 2014
Tony Berrada, Jerome Detemple and Marcel Rindisbacher
University of Geneva, Boston University - Department of Finance & Economics and Questrom School of Business, Boston University
Downloads 107 (205,157)

Abstract:

Asset pricing puzzles, regime-dependent preferences, incomplete information, equity premium, riskless rate, equity volatility, term structure, bond volatility, dividend strips, implied recession probability, recession detection

5.

Closed-Form Solutions for Optimal Portfolio Selection with Stochastic Interest Rate and Investment Constraints

Mathematical Finance, Vol. 15, No. 4, pp. 539-568, October 2005
Number of pages: 30 Posted: 02 Oct 2005
Jerome Detemple and Marcel Rindisbacher
Boston University - Department of Finance & Economics and Questrom School of Business, Boston University
Downloads 26 (399,792)
Citation 11
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Abstract:

6.

On American VIX Options under the Generalized 3/2 and 1/2 Models

Number of pages: 34 Posted: 08 Feb 2017
Jerome Detemple and Yerkin Kitapbayev
Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 0 (382,065)

Abstract:

Stochastic Volatility, VIX, Generalized 3/2 and 1/2 Models, Generalized Mixture Models, American Options, Exercise Premium, Exercise Boundaries, Integral Equations, Local Time

7.

Optimal Exercise for Derivative Securities

Annual Review of Financial Economics, Vol. 6, pp. 459-487, 2014
Posted: 25 Nov 2014
Jerome Detemple
Boston University - Department of Finance & Economics

Abstract:

8.

Lifecycle Consumption-Investment Policies and Pension Plans: A Dynamic Analysis

Journal of Investment Management (JOIM), First Quarter, 2012
Posted: 24 May 2012
Zvi Bodie, Jerome Detemple and Marcel Rindisbacher
Boston University - Department of Finance & Economics, Boston University - Department of Finance & Economics and Questrom School of Business, Boston University

Abstract:

Lifecycle finance, consumption, labor, portfolio, hedging, wealth, pension plan, target-date-funds, dynamic analysis

9.

Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications

The Review of Financial Studies, Vol. 23, Issue 1, pp. 25-100, 2009
Posted: 25 Jan 2010
Jerome Detemple
Boston University - Department of Finance & Economics

Abstract:

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10.

Dynamic Asset-Liability Management for Defined-Benefit Pension Plans

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 10 Jan 2008
Jerome Detemple, Marcel Rindisbacher and Jing Zhou
Boston University - Department of Finance & Economics, Questrom School of Business, Boston University and affiliation not provided to SSRN

Abstract:

11.

The Valuation of Volatility Options

European Finance Review, Vol. 4, No. 1
Posted: 21 May 2001
Jerome Detemple and Carlton Osakwe
Boston University - Department of Finance & Economics and Mount Royal University - Bissett School of Business

Abstract:

American options, early exercise premium, European options, hedging, optimal exercise, stochastic volatility, viability

12.

American Capped Call Options on Dividend Paying Assets

REVIEW OF FINANCIAL STUDIES, Vol 7 No 4, 1994
Posted: 25 Oct 1999
Jerome Detemple and Mark Broadie
Boston University - Department of Finance & Economics and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract:

13.

The Valuation of American Options on Multiple Assets

Posted: 02 Oct 1999
Jerome Detemple and Mark Broadie
Boston University - Department of Finance & Economics and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract:

14.

Non-traded Asset Valuation with Portfolio Constraints: a Binomial Approach

Review of Financial Studies, Vol. 12, Issue 3
Posted: 11 Jul 1999
Jerome Detemple and Suresh M. Sundaresan
Boston University - Department of Finance & Economics and Columbia Business School - Finance and Economics

Abstract:

15.

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation

Posted: 14 Nov 1996
Mark Broadie, Jerome Detemple, Eric Ghysels and Olivier Torres
Columbia University - Columbia Business School - Decision Risk and Operations, Boston University - Department of Finance & Economics, University of North Carolina Kenan-Flagler Business School and Universite Catholique de Louvain

Abstract:

American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 4
Posted: 05 Feb 1998
Jerome Detemple and Mark Broadie
Boston University - Department of Finance & Economics and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract:

American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

Posted: 22 Aug 1994
Jerome Detemple and Mark Broadie
Boston University - Department of Finance & Economics and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract: