Julien Guyon

Ecole des Ponts ParisTech

Paris

France

  • Ecole des Ponts ParisTech

SCHOLARLY PAPERS

25

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37,108

SSRN CITATIONS
Rank 15,308

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Top 15,308

in Total Papers Citations

44

CROSSREF CITATIONS

37

Scholarly Papers (25)

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1.

Volatility Is (Mostly) Path-Dependent

Number of pages: 47 Posted: 03 Aug 2022 Last Revised: 30 May 2023
Julien Guyon and Jordan Lekeufack
Ecole des Ponts ParisTech and University of California, Berkeley
Downloads 6,853 (1,676)
Citation 1

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Volatility modeling, path-dependent volatility, endogeneity, empirical PDV model, 4-factor Markovian PDV model, joint S\&P 500/VIX smile calibration, stochastic volatility, spurious roughness

2.

The Smile Calibration Problem Solved

Number of pages: 17 Posted: 15 Jul 2011
Julien Guyon and Pierre Henry-Labordere
Ecole des Ponts ParisTech and Qube Research & Technologies
Downloads 5,407 (2,506)
Citation 16

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non linear SDEs, particle method, calibration, Malliavin calculus

3.

The Smile in Stochastic Volatility Models

Number of pages: 15 Posted: 03 Dec 2011 Last Revised: 06 May 2012
Lorenzo Bergomi and Julien Guyon
Societe Generale and Ecole des Ponts ParisTech
Downloads 3,929 (4,347)
Citation 3

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4.

Rethinking the FIFA World Cup Final Draw

Number of pages: 36 Posted: 13 Apr 2014 Last Revised: 14 Dec 2014
Julien Guyon
Ecole des Ponts ParisTech
Downloads 3,476 (5,379)
Citation 3

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FIFA World Cup, draw procedure, geographic constraints, fairness, balancedness, uniform distribution

5.

The Joint S&P 500/VIX Smile Calibration Puzzle Solved

Risk, April 2020
Number of pages: 26 Posted: 13 Jun 2019 Last Revised: 16 Apr 2020
Julien Guyon
Ecole des Ponts ParisTech
Downloads 2,536 (8,900)
Citation 11

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Derivatives, smile calibration, S&P 500, VIX, joint calibration, dispersion-constrained martingale optimal transport, duality, Sinkhorn algorithm, arbitrage, volatility derivatives

6.

Path-Dependent Volatility

Number of pages: 12 Posted: 15 Apr 2014 Last Revised: 11 Sep 2014
Julien Guyon
Ecole des Ponts ParisTech
Downloads 2,475 (9,257)
Citation 7

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Option pricing, path-dependent volatility, complete models, smile calibration, particle method, implied volatility dynamics, ARCH/GARCH models

7.

A New Class of Local Correlation Models

Number of pages: 36 Posted: 22 Jun 2013
Julien Guyon
Ecole des Ponts ParisTech
Downloads 1,806 (15,304)
Citation 2

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local correlation, path-dependent volatility, path-dependent correlation, calibration, particle method, local stochastic volatility, stochastic interest rates, stochastic dividend yield

8.

From Spot Volatilities to Implied Volatilities

Number of pages: 14 Posted: 24 Aug 2010
Julien Guyon and Pierre Henry-Labordere
Ecole des Ponts ParisTech and Qube Research & Technologies
Downloads 1,624 (18,018)
Citation 7

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Implied volatility, local volatility, approximation, heat kernel expansion

9.

Uncertain Volatility Model: A Monte-Carlo Approach

Number of pages: 25 Posted: 21 Jan 2010
Julien Guyon and Pierre Henry-Labordere
Ecole des Ponts ParisTech and Qube Research & Technologies
Downloads 1,593 (18,547)
Citation 2

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Uncertain volatility model, optimization of non-smooth function, backward stochastic differential equation, Monte-Carlo simulation, regression, Malliavin

10.

The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

Number of pages: 53 Posted: 30 Dec 2020 Last Revised: 24 Feb 2022
Julien Guyon
Ecole des Ponts ParisTech
Downloads 1,177 (29,167)
Citation 4

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VIX, VIX Futures, VIX Power Payoffs, Bergomi Models, VIX2 Implied Volatility, Volatlity-of-Volatility Expansions, At-the-Money Skew, Joint S&P 500/VIX Calibration, Hermite Polynomials, Path-Dependent Volatility

11.

Does the Term-Structure of Equity At-the-Money Skew Really Follow a Power Law?

Number of pages: 18 Posted: 03 Aug 2022 Last Revised: 28 Mar 2023
Julien Guyon and Mehdi El Amrani
Ecole des Ponts ParisTech and Bloomberg L.P.
Downloads 731 (56,582)
Citation 1

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At-the-money skew, equity skew, variance curve models, calibration, power law, rough volatility, Bergomi model

12.

Risk of Collusion: Will Groups of 3 Ruin the FIFA World Cup?

Journal of Sports Analytics, forthcoming
Number of pages: 25 Posted: 20 Jun 2018 Last Revised: 02 Apr 2020
Julien Guyon
Ecole des Ponts ParisTech
Downloads 669 (63,661)
Citation 2

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sports, tournament design, FIFA World Cup, groups of 3, match fixing, collusion, point system

13.

Cross-Dependent Volatility

Number of pages: 11 Posted: 07 Jun 2015 Last Revised: 09 Jun 2015
Julien Guyon
Ecole des Ponts ParisTech
Downloads 637 (67,739)
Citation 3

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Option pricing, multi-asset models, cross-dependent volatility, correlation skew, smile calibration, basket options, particle method

14.

Dispersion-Constrained Martingale Schrödinger Problems and the Exact Joint S&P 500/VIX Smile Calibration Puzzle

Number of pages: 51 Posted: 03 Jun 2021
Julien Guyon
Ecole des Ponts ParisTech
Downloads 634 (68,128)
Citation 3

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Schrödinger problem, dispersion-constrained martingale Schrödinger problem, optimal transport, minimum entropy, duality, Sinkhorn algorithm, volatility modeling, joint S&P 500/VIX smile calibration

15.

Neural Joint S&P 500/VIX Smile Calibration

Number of pages: 14 Posted: 27 Dec 2022
Julien Guyon and Scander Mustapha
Ecole des Ponts ParisTech and Princeton University - Princeton University
Downloads 588 (74,884)

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joint S&P 500/VIX smile calibration, neural stochastic differential equations, path-dependent volatility

16.

The smile of stochastic volatility: Revisiting the Bergomi-Guyon expansion

Number of pages: 25 Posted: 18 Nov 2021
Julien Guyon
Ecole des Ponts ParisTech
Downloads 569 (78,023)

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Stochastic volatility, expansion, calibration, implied volatilities, implied spot-variance covariance, numerical methods for option pricing, rough volatility

17.

What a Fairer 24 Team UEFA Euro Could Look Like

Journal of Sports Analytics
Number of pages: 27 Posted: 12 Jan 2016 Last Revised: 01 Jun 2018
Julien Guyon
Ecole des Ponts ParisTech
Downloads 518 (87,729)
Citation 3

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UEFA Euro 2016, knockout bracket, fairness, balance, group diversity, group advantage, win incentive

18.

Fast Exact Joint S&P 500/VIX Smile Calibration in Discrete and Continuous Time

Number of pages: 19 Posted: 30 Dec 2022
Julien Guyon and Florian Bourgey
Ecole des Ponts ParisTech and Bloomberg LP
Downloads 422 (112,000)

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joint S&P 500/VIX smile calibration, Newton-Sinkhorn, implied Newton, martingale interpolation, martingale optimal transport

19.

Dispersion-Constrained Martingale Schrödinger Bridges: Joint Entropic Calibration of Stochastic Volatility Models to S&P 500 and VIX Smiles

Number of pages: 30 Posted: 27 Jul 2022
Julien Guyon
Ecole des Ponts ParisTech
Downloads 363 (133,012)

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joint S&P 500/VIX smile calibration, Schrödinger bridge, minimum entropy, stochastic volatility, dispersion-constrained martingale Schrödinger bridge

20.

Bounds for VIX Futures Given S&P 500 Smiles

Number of pages: 24 Posted: 20 Sep 2016 Last Revised: 23 Jun 2017
Julien Guyon, Romain Menegaux and Marcel Nutz
Ecole des Ponts ParisTech, Bloomberg L.P. and Columbia University
Downloads 337 (144,191)
Citation 4

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VIX Futures, Price bounds, Superreplication, Subreplication, Model-free, Robust hedging, S&P 500 smile

21.

Inversion of Convex Ordering in the VIX Market

Quantitative Finance, Forthcoming
Number of pages: 32 Posted: 01 Jan 2020 Last Revised: 02 Apr 2020
Julien Guyon
Ecole des Ponts ParisTech
Downloads 334 (145,601)
Citation 7

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VIX, convex order, inversion of convex ordering, martingale transport, local volatility, stochastic volatility, mean reversion, rough volatility, smile calibration

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sports, tournament design, fairness, choose your opponent, knockout, UEFA, Champions League, Euro 2020

23.

Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures

SIAM Journal on Financial Mathematics, 11-1 (2020), pp. SC-1-SC-13
Number of pages: 10 Posted: 22 Oct 2019 Last Revised: 02 Mar 2020
B. Acciaio and Julien Guyon
affiliation not provided to SSRN and Ecole des Ponts ParisTech
Downloads 139 (330,447)
Citation 6

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VIX, VIX futures, stochastic volatility, local volatility, convex order, inversion of convex ordering

24.

"Choose Your Opponent": A New Knockout Design for Hybrid Tournaments

Journal of Sports Analytics
Number of pages: 25 Posted: 15 Jul 2021
Julien Guyon
Ecole des Ponts ParisTech
Downloads 44 (645,626)

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sports, tournament design, fairness in sports, win incentive, collusion, tanking, strategy

25.

Calibration of Local Correlation Models to Basket Smiles

Journal of Computational Finance, Forthcoming
Number of pages: 51 Posted: 18 Nov 2016
Julien Guyon
Ecole des Ponts ParisTech
Downloads 0 (983,724)
Citation 3
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Abstract:

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local correlation; calibration; particle method;McKean nonlinear stochastic differential equation (SDE); path-dependent correlation