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Derivatives pricing - Stochastic volatility's orderly smiles - The authors derive an expansion of the volatility surface of general stochastic volatility models at second order in...
Bergomi, Lorenzo; Guyon, Julien - In: Risk : managing risk in the world's financial markets 25 (2012) 5, pp. 60-67
Persistent link: https://www.econbiz.de/10009978928
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Degree of influence - Focus moves to capital - The most cited articles and authors in Risks history.
Bergomi, Lorenzo - In: Risk : managing risk in the world's financial markets 22 (2009) 12, pp. 91-94
Persistent link: https://www.econbiz.de/10008345772
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CUTTING EDGE - Equity derivatives - Smile dynamics III - In two articles published in 2004 and 2005 in Risk, the author assessed the structural limitations of existing models for e...
Bergomi, Lorenzo - In: Risk : managing risk in the world's financial markets 21 (2008) 10, pp. 90-96
Persistent link: https://www.econbiz.de/10008136914
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CUTTING EDGE Equity derivatives Correlations in asynchronous markets The author addresses the issue of pricing multi-asset options in the context of asynchronous markets. Using the...
Bergomi, Lorenzo - In: Risk : managing risk in the world's financial markets 23 (2010) 11, pp. 72-79
Persistent link: https://www.econbiz.de/10009794287