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

20

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Top 1,804

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22,968

SSRN CITATIONS
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SSRN RANKINGS

Top 15,323

in Total Papers Citations

37

CROSSREF CITATIONS

37

Scholarly Papers (20)

1.

The Smile Calibration Problem Solved

Number of pages: 17 Posted: 15 Jul 2011
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Natixis - Paris, France
Downloads 4,506 (2,650)
Citation 16

Abstract:

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non linear SDEs, particle method, calibration, Malliavin calculus

2.

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 3,314 (4,485)
Citation 3

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3.

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 3,284 (4,569)
Citation 3

Abstract:

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

4.

Path-Dependent Volatility

Number of pages: 12 Posted: 15 Apr 2014 Last Revised: 11 Sep 2014
Julien Guyon
Bloomberg L.P.
Downloads 2,050 (9,847)
Citation 7

Abstract:

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

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
Bloomberg L.P.
Downloads 1,888 (11,298)
Citation 9

Abstract:

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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.

A New Class of Local Correlation Models

Number of pages: 36 Posted: 22 Jun 2013
Julien Guyon
Bloomberg L.P.
Downloads 1,585 (14,844)
Citation 2

Abstract:

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

7.

From Spot Volatilities to Implied Volatilities

Number of pages: 14 Posted: 24 Aug 2010
Julien Guyon and Pierre Henry-Labordere
Bloomberg L.P. and Natixis - Paris, France
Downloads 1,434 (17,347)
Citation 7

Abstract:

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Implied volatility, local volatility, approximation, heat kernel expansion

8.

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 Natixis - Paris, France
Downloads 1,392 (18,146)
Citation 2

Abstract:

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

9.

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
Bloomberg L.P.
Downloads 593 (59,758)
Citation 2

Abstract:

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

10.

Cross-Dependent Volatility

Number of pages: 11 Posted: 07 Jun 2015 Last Revised: 09 Jun 2015
Julien Guyon
Bloomberg L.P.
Downloads 585 (60,848)
Citation 3

Abstract:

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

11.

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 490 (75,727)
Citation 3

Abstract:

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

12.
Downloads 443 (85,492)
Citation 2

Abstract:

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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

13.

The VIX Future in Bergomi Models: Closed-Form Expansions and Joint Calibration with S&P 500 Skew

Number of pages: 39 Posted: 30 Dec 2020 Last Revised: 29 Jul 2021
Julien Guyon
Bloomberg L.P.
Downloads 429 (88,760)
Citation 1

Abstract:

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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

14.

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 287 (138,594)
Citation 4

Abstract:

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

15.

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
Bloomberg L.P.
Downloads 242 (164,480)
Citation 7

Abstract:

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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

17.

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

Number of pages: 25 Posted: 18 Nov 2021
Julien Guyon
Bloomberg L.P.
Downloads 132 (278,680)

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

18.

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 Bloomberg L.P.
Downloads 112 (313,996)
Citation 6

Abstract:

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

19.

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

Journal of Sports Analytics
Number of pages: 25 Posted: 15 Jul 2021
Julien Guyon
Bloomberg L.P.
Downloads 21 (651,353)

Abstract:

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

20.

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 (830,090)
Citation 2
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Abstract:

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