Jerome Detemple

Boston University Questrom School of Business

Morton H. and Charlotte Friedman Professor of Management; Professor of Finance

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

25

DOWNLOADS
Rank 14,534

SSRN RANKINGS

Top 14,534

in Total Papers Downloads

5,135

SSRN CITATIONS
Rank 17,509

SSRN RANKINGS

Top 17,509

in Total Papers Citations

22

CROSSREF CITATIONS

39

Scholarly Papers (25)

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Jerome Detemple, René Garcia and Marcel Rindisbacher
Boston University Questrom School of Business, Université de Montréal and Questrom School of Business, Boston University
Downloads 1,948 (12,179)
Citation 24

Abstract:

Loading...

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 Questrom School of Business, Université de Montréal and Questrom School of Business, Boston University

Abstract:

Loading...

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, Boston University Questrom School of Business and Questrom School of Business, Boston University
Downloads 1,199 (25,528)
Citation 2

Abstract:

Loading...

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

Life-Cycle Finance and the Design of Pension Plans

Posted: 04 Jun 2010
Zvi Bodie and Jerome Detemple
Boston University and Boston University Questrom School of Business

Abstract:

Loading...

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 - Geneva Finance Research Institute (GFRI), Boston University Questrom School of Business and Questrom School of Business, Boston University
Downloads 234 (191,221)
Citation 3

Abstract:

Loading...

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

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 - Geneva Finance Research Institute (GFRI), Boston University Questrom School of Business and Questrom School of Business, Boston University
Downloads 202 (218,828)
Citation 2

Abstract:

Loading...

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

4.

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 Questrom School of Business, Questrom School of Business, Boston University and Université de Montréal
Downloads 420 (103,549)
Citation 7

Abstract:

Loading...

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

5.

Asset Prices and Pandemics

Number of pages: 58 Posted: 13 May 2020 Last Revised: 04 Sep 2020
Jerome Detemple
Boston University Questrom School of Business
Downloads 242 (184,874)
Citation 2

Abstract:

Loading...

Pandemics, equilibrium, cycles, interest rate, price of risk, returns, wages, stock prices, shelter- in-place, optimal mitigation, welfare, COVID-19

6.

Optimal Dynamic Contracts with Environmental, Social and Governance Criteria

Number of pages: 50 Posted: 28 Jul 2020
Jerome Detemple and Hao Xing
Boston University Questrom School of Business and Boston University - Questrom School of Business
Downloads 239 (187,143)

Abstract:

Loading...

Principal-agent problem, hidden actions, externality, optimal contracts, environment, social responsibility, ESG capital, ESG investments, agency friction

7.

Dynamic Noisy Rational Expectations Equilibrium with Insider Information

Econometrica, Forthcoming
Number of pages: 58 Posted: 02 Jul 2020
Jerome Detemple, Marcel Rindisbacher and Scott Robertson
Boston University Questrom School of Business, Questrom School of Business, Boston University and Questrom School of Business, Boston University
Downloads 161 (266,295)

Abstract:

Loading...

Rational Expectations Equilibrium, Heterogenous Information, Diffusions, Prices, Risk Premia, Volatility, Portfolios

8.

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

Number of pages: 34 Posted: 08 Feb 2017 Last Revised: 04 Apr 2017
Jerome Detemple and Yerkin Kitapbayev
Boston University Questrom School of Business and North Carolina State University
Downloads 126 (322,823)

Abstract:

Loading...

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

9.

The Value of Green Energy under Regulation Uncertainty

Energy Economics, Forthcoming, https://doi.org/10.1016/j.eneco.2020.104807
Number of pages: 25 Posted: 02 Jun 2020 Last Revised: 09 Jun 2020
Jerome Detemple and Yerkin Kitapbayev
Boston University Questrom School of Business and North Carolina State University
Downloads 102 (373,875)

Abstract:

Loading...

green energy, wind plant, gas-fired plant, real options, subsidy, regulation uncertainty

10.

Asset Prices and Pandemics: The Effects of Lockdowns

Special issue of Quarterly Journal of Finance 2021, Boston University Questrom School of Business Research Paper No. 3826647
Number of pages: 46 Posted: 15 Apr 2021
Jerome Detemple
Boston University Questrom School of Business
Downloads 84 (422,297)

Abstract:

Loading...

Pandemics, SEIRD, equilibrium, stock prices, wages, V-shaped recovery, shelter-in-place, COVID-19

11.

Callable Barrier Reverse Convertible Securities

Forthcoming, Quantitative Finance, https://doi.org/10.1080/14697688.2021.1912380
Number of pages: 28 Posted: 17 Jun 2021
Jerome Detemple and Yerkin Kitapbayev
Boston University Questrom School of Business and North Carolina State University
Downloads 61 (501,681)

Abstract:

Loading...

Barrier reverse convertible claim, call provision, American put option, geometric Brownian motion, optimal stopping, free-boundary problem, early redemption discount, integral equation

12.

American Options with Discontinuous Two-Level Caps

Number of pages: 32 Posted: 24 Jul 2017 Last Revised: 31 Oct 2017
Jerome Detemple and Yerkin Kitapbayev
Boston University Questrom School of Business and North Carolina State University
Downloads 57 (517,980)
Citation 2

Abstract:

Loading...

American capped option, optimal stopping, geometric Brownian motion, free-boundary problem, local time, integral equation

13.

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 Questrom School of Business and Questrom School of Business, Boston University
Downloads 34 (634,165)
Citation 4

Abstract:

Loading...

14.

COVID-19 Puzzles: A Resolution

Number of pages: 50 Posted: 31 Oct 2022 Last Revised: 01 Nov 2022
Tony Berrada, Jerome Detemple and Marcel Rindisbacher
University of Geneva - Geneva Finance Research Institute (GFRI), Boston University Questrom School of Business and Questrom School of Business, Boston University
Downloads 26

Abstract:

Loading...

COVID-19, SEIRD, shelter-in-place, jumps, beliefs-dependent preferences, stock market, equity premium, volatility, correlation, consumption, unemployment

15.

Optimal Technology Adoption for Power Generation

Energy Economics, Forthcoming
Posted: 08 Jun 2022
Jerome Detemple and Yerkin Kitapbayev
Boston University Questrom School of Business and North Carolina State University

Abstract:

Loading...

Technology choice, wind plant, new gas plant, liquidation, inaction, mean reversion, differentiable volatility function, investment regions, boundaries, Fredholm equations, EIP-EAP representation

16.

Optimal Exercise for Derivative Securities

Annual Review of Financial Economics, Vol. 6, pp. 459-487, 2014
Posted: 25 Nov 2014
Jerome Detemple
Boston University Questrom School of Business

Abstract:

Loading...

17.

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, Boston University Questrom School of Business and Questrom School of Business, Boston University

Abstract:

Loading...

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

18.

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 Questrom School of Business

Abstract:

Loading...

G11

19.

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 Questrom School of Business, Questrom School of Business, Boston University and affiliation not provided to SSRN

Abstract:

Loading...

20.

The Valuation of Volatility Options

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

Abstract:

Loading...

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

21.

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 Questrom School of Business and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract:

Loading...

22.

The Valuation of American Options on Multiple Assets

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

Abstract:

Loading...

23.

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 Questrom School of Business and Columbia University - Columbia Business School, Finance

Abstract:

Loading...

24.

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 Questrom School of Business, University of North Carolina Kenan-Flagler Business School and Universite Catholique de Louvain

Abstract:

Loading...

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 Questrom School of Business and Columbia University - Columbia Business School - Decision Risk and Operations

Abstract:

Loading...

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

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

Abstract:

Loading...