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Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European journal of operational research : EJOR 237 (2014) 1, pp. 312-322
Persistent link: https://www.econbiz.de/10010378599
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Credit value adjustment with market-implied recovery
François, Pascal; Jiang, Weiyu - In: Journal of financial services research : JFSR 56 (2019) 2, pp. 145-166
Persistent link: https://www.econbiz.de/10012303112
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Venturing into uncharted territory : an extensible implied volatility surface model
François, Pascal; Galarneau-Vincent, Rémi; Gauthier, … - In: The journal of futures markets 42 (2022) 10, pp. 1912-1940
Persistent link: https://www.econbiz.de/10013465829