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Details about Grégory Rayée

E-mail: This e-mail address is bad, please ask Grégory Rayée to update the entry in the RePEc Author Service or the correct address.
Workplace:European Centre for Advanced Research in Economics and Statistics (ECARES), Solvay Brussels School of Economics and Management, Université Libre de Bruxelles (Free University of Brussels), (more information at EDIRC)

Access statistics for papers by Grégory Rayée.

Last updated 2017-08-30. Update your information in the RePEc Author Service.

Short-id: pra387


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Working Papers

2015

  1. Quanto Implied Correlation in a Multi-Lévy Framework
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2012

  1. Local Volatility Pricing Models for Long-dated FX Derivatives
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Applied Mathematical Finance (2013)
  2. Pricing Variable Annuity Guarantees in a Local Volatility framework
    Papers, arXiv.org Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2013)

2010

  1. Vanna-Volga methods applied to FX derivatives: from theory to market practice
    Papers, arXiv.org Downloads View citations (8)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2010)

Journal Articles

2017

  1. Multivariate FX models with jumps: Triangles, Quantos and implied correlation
    European Journal of Operational Research, 2017, 260, (3), 1181-1199 Downloads View citations (5)

2014

  1. USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS
    ASTIN Bulletin, 2014, 44, (2), 237-276 Downloads View citations (2)

2013

  1. Local Volatility Pricing Models for Long-Dated FX Derivatives
    Applied Mathematical Finance, 2013, 20, (4), 380-402 Downloads View citations (3)
    See also Working Paper (2012)
  2. Pricing Variable Annuity Guarantees in a local volatility framework
    Insurance: Mathematics and Economics, 2013, 53, (3), 650-663 Downloads View citations (5)
    See also Working Paper (2012)

2010

  1. VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE
    International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (08), 1293-1324 Downloads View citations (4)
    See also Working Paper (2010)
 
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