Valdo Durrleman

Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS

Palaiseau, 91128

France

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 3,790

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Top 3,790

in Total Papers Downloads

8,636

CITATIONS
Rank 5,289

SSRN RANKINGS

Top 5,289

in Total Papers Citations

98

Scholarly Papers (13)

1.

Copulas for Finance - A Reading Guide and Some Applications

Number of pages: 69 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 3,920 (1,423)
Citation 44

Abstract:

Multivariate distribution, dependence structure, concordance measures, scoring, Markov processes, risk management, extreme value theory, stress testing, operational risk, market risk, credit risk

2.

Copulas: An Open Field for Risk Management

Number of pages: 8 Posted: 26 Nov 2007
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 792 (22,081)
Citation 5

Abstract:

Copulas, market risk, credit risk, operational risk

3.

Coupling Smiles

Number of pages: 26 Posted: 07 Aug 2007
Valdo Durrleman and Nicole El Karoui
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS and Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Downloads 494 (42,183)
Citation 1

Abstract:

Implied volatility, foreign exchange options.

4.

Convergence of At-The-Money Implied Volatilities to the Spot Volatility

Number of pages: 10 Posted: 07 Aug 2007 Last Revised: 18 Sep 2012
Valdo Durrleman
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Downloads 448 (46,909)
Citation 2

Abstract:

Implied volatility, spot volatility, robustness formula, martingale central limit theorem

5.

Which Copula is the Right One?

Number of pages: 19 Posted: 26 Nov 2007 Last Revised: 06 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 374 (53,331)
Citation 22

Abstract:

Maximum likelihood method, inference for margins, CML method, point estimator, non parametric estimation, Deheuvels copula, copula approximation

6.

From Implied to Spot Volatilities

Number of pages: 26 Posted: 21 Jul 2008 Last Revised: 23 Dec 2008
Valdo Durrleman
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS
Downloads 351 (56,882)
Citation 12

Abstract:

implied volatility, model calibration

7.

Copulas, Multivariate Risk - Neutral Distributions and Implied Dependence Functions

Number of pages: 15 Posted: 26 Nov 2007
Banque de France, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 237 (91,575)

Abstract:

Copulas, risk-neutral distribution, change of numéraire, option pricing, implied multivariate RND

8.

A Simple Transformation of Copulas

Number of pages: 15 Posted: 26 Nov 2007 Last Revised: 06 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 227 (106,941)
Citation 3

Abstract:

gamma-transformation, Kendall's tau, Spearman's rho, upper tail dependence

9.

Optimal Arbitrage Strategies in Presence of Market Impacts

Number of pages: 18 Posted: 14 Sep 2007
Valdo Durrleman and Serge Lhermitte
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS and affiliation not provided to SSRN
Downloads 216 (109,256)

Abstract:

arbitrage strategies, market impact

10.

Copulas Approximation and New Families

Number of pages: 24 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 183 (120,418)
Citation 4

Abstract:

Doubly stochastic matrices, Bernstein polynomials approximation, checkerboard copula, partitions of unity, Markov algebras, product of copulas

11.

A Note About the Conjecture on Spearman's Rho and Kendall's Tau

Number of pages: 10 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 164 (134,629)
Citation 1

Abstract:

Spearman's rho, Kendall's tau, cubic copula

12.

Topics on Two-State Option Pricing

Number of pages: 44 Posted: 22 Nov 2007 Last Revised: 01 Apr 2009
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, LARE-efi, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 145 (157,909)

Abstract:

Numerical integration methods, Gauss quadratures, Monte Carlo, Quasi Monte Carlo, Sobol sequences, Faure sequences, two-dimensional PDE, Hopscotch, LOD, ADI, MOL, Stochastic volatility model, Malliavin calculus

13.

How to Get Bounds for Distribution Convolutions? A Simulation Study and an Application to Risk Management

Number of pages: 14 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Valdo Durrleman, Ashkan Nikeghbali and Thierry Roncalli
Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 115 (186,380)
Citation 4

Abstract:

Triangle functions, dependency bounds, infimal, supremal and sigma-convolutions, Makarov inequalities, Value-at-Risk, square root rule, Dall'aglio problem, Kantorovich distance