Grégory Rayée : Citation Profile


Are you Grégory Rayée?

Université Libre de Bruxelles

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H index

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i10 index

21

Citations

RESEARCH PRODUCTION:

5

Articles

4

Papers

RESEARCH ACTIVITY:

   7 years (2010 - 2017). See details.
   Cites by year: 3
   Journals where Grégory Rayée has often published
   Relations with other researchers
   Recent citing documents: 9.    Total self citations: 4 (16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pra387
   Updated: 2019-11-16    RAS profile: 2017-08-30    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Grégory Rayée.

Is cited by:

Hertrich, Markus (3)

Recchioni, Maria (2)

Dhaene, Jan (1)

Zhou, Ming (1)

Tedeschi, Gabriele (1)

Ballotta, Laura (1)

Fabozzi, Frank (1)

Gnoatto, Alessandro (1)

Pallavicini, Andrea (1)

Cites to:

Ballotta, Laura (4)

Pelsser, Antoon (4)

Gnoatto, Alessandro (4)

Oosterlee, Cornelis (3)

Wu, Liuren (3)

DA FONSECA, José (2)

Tebaldi, Claudio (2)

White, Alan (2)

Nitschka, Thomas (2)

Milne, Frank (2)

Fang, Fang (2)

Main data


Where Grégory Rayée has published?


Working Papers Series with more than one paper published# docs
Papers / arXiv.org3

Recent works citing Grégory Rayée (2018 and 2017)


YearTitle of citing document
2018Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. (2018). Tassinari, Gian Luca ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.05584.

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2018Smile Modelling in Commodity Markets. (2018). Pallavicini, Andrea ; Sartorelli, Giulio ; Nastasi, Emanuele. In: Papers. RePEc:arx:papers:1808.09685.

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2018Subjective value of the guarantees embedded in public cash-balance pension plans. (2018). Tang, Chun-Hua . In: Journal of Pension Economics and Finance. RePEc:cup:jpenef:v:17:y:2018:i:02:p:231-250_00.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2019Integrated structural approach to Credit Value Adjustment. (2019). Ballotta, Laura ; Marazzina, Daniele ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157.

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2017Cliquet-style return guarantees in a regime switching Lévy model. (2017). Hieber, Peter. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:138-147.

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2018An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (2018). Dhaene, Jan ; Yao, Jing ; Zhou, Ming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:92-100.

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2019Quanto Option Pricing with Lévy Models. (2019). Park, Jiho ; Fabozzi, Frank J ; Kim, Young S ; Fallahgoul, Hasan A. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-018-9807-8.

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2018A multivariate stochastic volatility model with applications in the foreign exchange market. (2018). Escobar, Marcos ; Gschnaidtner, Christoph. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8.

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Works by Grégory Rayée:


YearTitleTypeCited
2010Vanna-Volga methods applied to FX derivatives : from theory to market practice In: Papers.
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2010VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE.(2010) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 4
article
2012Pricing Variable Annuity Guarantees in a Local Volatility framework In: Papers.
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paper5
2013Pricing Variable Annuity Guarantees in a local volatility framework.(2013) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 5
article
2012Local Volatility Pricing Models for Long-dated FX Derivatives In: Papers.
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paper6
2013Local Volatility Pricing Models for Long-Dated FX Derivatives.(2013) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2014Using Model-Independent Lower Bounds to Improve Pricing of Asian Style Options in Lévy Markets In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article2
2015Quanto Implied Correlation in a Multi-Lévy Framework In: Working Papers ECARES.
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paper0
2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation In: European Journal of Operational Research.
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article4

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 11 2019. Contact: CitEc Team