Florence Guillaume

Independent

SCHOLARLY PAPERS

9

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1,707

SSRN CITATIONS

4

CROSSREF CITATIONS

5

Scholarly Papers (9)

1.

Heston Model: The Variance Swap Calibration

Number of pages: 15 Posted: 24 Apr 2013
Florence Guillaume and Wim Schoutens
Independent and KU Leuven - Department of Mathematics
Downloads 539 (65,985)
Citation 1

Abstract:

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Heston model, Starting values, Variance term structure matching

2.

Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading

Number of pages: 11 Posted: 14 Feb 2011
University of Barcelona - Faculty of Mathematics, Independent, University of Maryland - Robert H. Smith School of Business and KU Leuven - Department of Mathematics
Downloads 401 (94,140)
Citation 7

Abstract:

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Liquidity, bid-ask pricing, conic finance

3.

A Moment Matching Market Implied Calibration

Number of pages: 25 Posted: 15 Mar 2012
Florence Guillaume and Wim Schoutens
Independent and KU Leuven - Department of Mathematics
Downloads 265 (147,621)

Abstract:

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calibration, moment matching, exponential Levy models

4.

The LIX: A Model-Independent Liquidity Index

Number of pages: 26 Posted: 14 Nov 2013
Florence Guillaume
Independent
Downloads 191 (201,594)

Abstract:

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spot liquidity, model-free liquidity index, option liquidity surface, conic finance, pre- and post-crisis liquidity

5.

Implied Liquidity: Model Sensitivity

Number of pages: 32 Posted: 10 Nov 2012
Florence Guillaume, Wim Schoutens and Hansjoerg Albrecher
Independent, KU Leuven - Department of Mathematics and University of Lausanne
Downloads 148 (250,396)
Citation 2

Abstract:

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implied liquidity, conic finance, model sensitivity, pre-and post crisis liquidity

6.

A Bootstrapping Market Implied Moment Matching Calibration for Models with Time-Dependent Parameters

Number of pages: 23 Posted: 24 Apr 2013
Florence Guillaume and Wim Schoutens
Independent and KU Leuven - Department of Mathematics
Downloads 62 (439,272)

Abstract:

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7.

Stochastic Modeling of Herd Behavior Indices

Number of pages: 26 Posted: 28 Mar 2014
Florence Guillaume and Daniël Linders
Independent and University of Illinois
Downloads 52 (476,649)

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herd behavior modeling, time-dependent diffusion processes, mean-reverting processes, comonotonicity

8.

Towards a Delta-Gamma Sato Multivariate Model

Number of pages: 35 Posted: 18 Jan 2017
Lynn Boen and Florence Guillaume
University of Antwerp - Department of Mathematics and Computer Science and Independent
Downloads 49 (488,953)

Abstract:

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Multivariate Asset Pricing, Difference of Gamma Processes, Difference of Gamma Sato

9.

Pricing and Hedging of CDO-Squared Tranches by Using a One Factor Levy Model

International Journal of Theoretical and Applied Finance, Vol. 12, No. 5, pp. 663-685, 2009
Posted: 25 Apr 2010
Florence Guillaume and Wim Schoutens
Independent and KU Leuven - Department of Mathematics

Abstract:

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Credit risk, CDOs-squared, collateralized debt obligations, correlation, copula, hedging