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OPTION PRICING: HEDGE YOUR MONTE CARLO - A Monte Carlo-based variance reduction approach to pricing and hedging.
Potters, Marc; Bouchaud, Jean-Philippe; Sestovic, Dragan - In: Risk : managing risk in the world's financial markets 14 (2001) 3, pp. 133-138
Persistent link: https://www.econbiz.de/10007044892
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INTEREST RATES: STRINGS ATTACHED - Modelling interest rate movements as the "noisy" oscillations of an elastic string
Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; … - In: Risk : managing risk in the world's financial markets 11 (1998) 7, pp. 56-59
Persistent link: https://www.econbiz.de/10007062253
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INTEREST RATES: STRINGS ATTACHED - Modelling interest rate movements as the "noisy" oscillations of an elastic string
Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; … - In: Risk : managing risk in the world's financial markets 11 (1998) 7, pp. 56-59
Persistent link: https://www.econbiz.de/10007062269
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Books: Physics of Finance: Gauge Modelling of Non-equilibrium Pricing
Ilinski, Kirill; Potters, Marc - In: Risk : managing risk in the world's financial markets 14 (2001) 9, pp. 121
Persistent link: https://www.econbiz.de/10007041589
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RANDOM MATRIX THEORY - Using theoretical physics to ensure that covariance and correlation matrices are reliable, not random
Laloux, Laurent; Cizeau, Pierre; Bouchaud, Jean-Phillipe; … - In: Risk : managing risk in the world's financial markets 12 (1999) 3, pp. 69-73
Persistent link: https://www.econbiz.de/10007058153
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Book review - Theory of Financial Risk and Derivatives Pricing, From Statistical Physics to Risk Management
Bouchard, Jean-Philippe; Potters, Marc; Lundin, Mark - In: Risk : managing risk in the world's financial markets 17 (2004) 6, pp. 68
Persistent link: https://www.econbiz.de/10007027362
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Equity derivatives - Smile in the low moments
Bouchaud, Jean-Philippe; De Leo, Lorenzo; Vargas, Vincent; … - In: Risk : managing risk in the world's financial markets 26 (2013) 7, pp. 56-59
Persistent link: https://www.econbiz.de/10010154137
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REAL WORLD OPTIONS - An option pricing framework which addresses the practical difficulties presented by the differences between the real world and Black-Scholes
Bouchaud, Jean-Philippe; Iori, Giulia; Sornette, Didier - In: Risk : managing risk in the world's financial markets 9 (1996) 3, pp. 61-66
Persistent link: https://www.econbiz.de/10007078485
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Liquidity risk - Impact-adjusted valuation and the criticality of leverage - Marking whole positions to the current clearing price as in mark-to-market accounting ignores the effec...
Bouchaud, Jean-Philippe; Caccioli, Fabio; Farmer, Doyne - In: Risk : managing risk in the world's financial markets 25 (2012) 12, pp. 74-77
Persistent link: https://www.econbiz.de/10010061835