Julien Guyon

Bloomberg L.P.

Quantitative Research

731 Lexington Avenue

New York, NY 10022

United States

Columbia University - Department of Mathematics

Adjunct Professor

3022 Broadway

New York, NY 10027

United States

New York University - Courant Institute of Mathematical Sciences

Adjunct Professor

New York University

New York, NY 10012

United States

SCHOLARLY PAPERS

12

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16,287

CITATIONS
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SSRN RANKINGS

Top 30,701

in Total Papers Citations

7

Scholarly Papers (12)

1.

The Smile Calibration Problem Solved

Number of pages: 17 Posted: 15 Jul 2011
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Société Générale - Paris, France
Downloads 3,570 (2,594)
Citation 3

Abstract:

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non linear SDEs, particle method, calibration, Malliavin calculus

2.

Rethinking the FIFA World Cup Final Draw

Number of pages: 36 Posted: 13 Apr 2014 Last Revised: 14 Dec 2014
Julien Guyon
Bloomberg L.P.
Downloads 3,131 (3,285)

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

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 Bloomberg L.P.
Downloads 2,577 (4,556)

Abstract:

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4.

Path-Dependent Volatility

Number of pages: 12 Posted: 15 Apr 2014 Last Revised: 11 Sep 2014
Julien Guyon
Bloomberg L.P.
Downloads 1,670 (9,466)

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

5.

A New Class of Local Correlation Models

Number of pages: 36 Posted: 22 Jun 2013
Julien Guyon
Bloomberg L.P.
Downloads 1,251 (14,982)

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

6.

From Spot Volatilities to Implied Volatilities

Number of pages: 14 Posted: 24 Aug 2010
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Société Générale - Paris, France
Downloads 1,249 (15,026)
Citation 3

Abstract:

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Implied volatility, local volatility, approximation, heat kernel expansion

7.

Uncertain Volatility Model: A Monte-Carlo Approach

Number of pages: 25 Posted: 21 Jan 2010
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Société Générale - Paris, France
Downloads 1,226 (15,472)
Citation 1

Abstract:

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

8.

Cross-Dependent Volatility

Number of pages: 11 Posted: 07 Jun 2015 Last Revised: 09 Jun 2015
Julien Guyon
Bloomberg L.P.
Downloads 499 (54,137)

Abstract:

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

9.

Will Groups of 3 Ruin the World Cup?

Number of pages: 18 Posted: 20 Jun 2018 Last Revised: 25 Apr 2019
Julien Guyon
Bloomberg L.P.
Downloads 461 (59,841)

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

10.

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
Bloomberg L.P.
Downloads 431 (64,926)

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

11.

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
Bloomberg L.P., Bloomberg L.P. and Columbia University
Downloads 222 (134,465)

Abstract:

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

12.

Calibration of Local Correlation Models to Basket Smiles

Journal of Computational Finance, Forthcoming
Number of pages: 51 Posted: 18 Nov 2016
Julien Guyon
Bloomberg L.P.
Downloads 0 (651,081)
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Abstract:

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