Details about Grégory Rayée

Access statistics for papers by Grégory Rayée.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pra387

Working Papers

2015

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

2012

2. Local Volatility Pricing Models for Long-dated FX Derivatives
   Papers, arXiv.org View citations (8)
   See also Journal Article Local Volatility Pricing Models for Long-Dated FX Derivatives, Applied Mathematical Finance, Taylor & Francis Journals (2013) View citations (2) (2013)
3. Pricing Variable Annuity Guarantees in a Local Volatility framework
   Papers, arXiv.org
   See also Journal Article Pricing Variable Annuity Guarantees in a local volatility framework, Insurance: Mathematics and Economics, Elsevier (2013) View citations (7) (2013)

2010

4. Vanna-Volga methods applied to FX derivatives: from theory to market practice
   Papers, arXiv.org View citations (11)
   See also Journal Article VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2010) View citations (7) (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 View citations (10)

2014

2. USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS
   ASTIN Bulletin, 2014, 44, (2), 237-276 View citations (3)

2013

3. Local Volatility Pricing Models for Long-Dated FX Derivatives
   Applied Mathematical Finance, 2013, 20, (4), 380-402 View citations (2)
   See also Working Paper Local Volatility Pricing Models for Long-dated FX Derivatives, Papers (2012) View citations (8) (2012)
4. Pricing Variable Annuity Guarantees in a local volatility framework
   Insurance: Mathematics and Economics, 2013, 53, (3), 650-663 View citations (7)
   See also Working Paper Pricing Variable Annuity Guarantees in a Local Volatility framework, Papers (2012) (2012)

2010

5. 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 View citations (7)
   See also Working Paper Vanna-Volga methods applied to FX derivatives: from theory to market practice, Papers (2010) View citations (11) (2010)