Citation profile for Grégory Rayée

Grégory Rayée : Citation Profile

Université Libre de Bruxelles

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Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   7 years (2010 - 2017). See details.
   Cites by year: 6
   Journals where Grégory Rayée has often published
   Relations with other researchers
   Recent citing documents: 6.    Total self citations: 4 (8.51 %)

MORE DETAILS IN:

EconPapers

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra387
   Updated: 2026-01-17    RAS profile: 2023-03-16
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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 (6)

Ballotta, Laura (5)

Gnoatto, Alessandro (3)

Recchioni, Maria (2)

Sensoy, Ahmet (1)

Fabozzi, Frank (1)

Pallavicini, Andrea (1)

Zhou, Ming (1)

Varma, Jayanth (1)

Escobar Anel, Marcos (1)

Tedeschi, Gabriele (1)

Cites to:

Ballotta, Laura (4)

Gnoatto, Alessandro (4)

Pelsser, Antoon (4)

Oosterlee, Cornelis (3)

Wu, Liuren (3)

Nitschka, Thomas (2)

DA FONSECA, José (2)

Tebaldi, Claudio (2)

White, Alan (2)

Milne, Frank (2)

White, Alan (2)

Main data

Where Grégory Rayée has published?

Working Papers Series with more than one paper published	# docs
Papers / arXiv.org	3

Recent works citing Grégory Rayée (2025 and 2024)

Year	Title of citing document
2024	Multi-asset and generalised Local Volatility. An efficient implementation. (2024). Roth, Louis ; Deloire, Olivier. In: Papers. RePEc:arx:papers:2411.05425. Full description at Econpapers \|\| Download paper
2024	Closed-form approximations for basket option pricing under normal tempered stable Lévy model. (2024). Zhong, Qifeng ; Yao, Jing ; Sayit, Hasanjan ; Hu, Dongdong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400158x. Full description at Econpapers \|\| Download paper
2025	Multivariate additive subordination with applications in finance. (2025). Ballotta, Laura ; Amici, Giovanni ; Semeraro, Patrizia. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:1004-1020. Full description at Econpapers \|\| Download paper
2024	Valuation of a Mixture of GMIB and GMDB Variable Annuity. (2024). Han, Yichen ; Li, Luyan ; Fan, Kun ; Wan, Jiaxin. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:3:p:441-:d:1329602. Full description at Econpapers \|\| Download paper
2025	Pricing Variable Annuity Contract with GMAB Guarantee Under a Regime Switching Local Volatility Model. (2025). Selvamuthu, Dharmaraja ; Arunachalam, Viswanathan ; Mohammad, Sarfraz. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10764-5. Full description at Econpapers \|\| Download paper
2024	CBI-time-changed Lévy processes for multi-currency modeling. (2024). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04982-z. Full description at Econpapers \|\| Download paper

Works by Grégory Rayée:

Year	Title	Type	Cited
2010	Vanna-Volga methods applied to FX derivatives : from theory to market practice In: Papers. [Full Text][Citation analysis]	paper	10
2010	VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE.(2010) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10	article
2012	Pricing Variable Annuity Guarantees in a Local Volatility framework In: Papers. [Full Text][Citation analysis]	paper	8
2013	Pricing Variable Annuity Guarantees in a local volatility framework.(2013) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8	article
2012	Local Volatility Pricing Models for Long-dated FX Derivatives In: Papers. [Full Text][Citation analysis]	paper	10
2013	Local Volatility Pricing Models for Long-Dated FX Derivatives.(2013) In: Applied Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10	article
2014	USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS In: ASTIN Bulletin. [Full Text][Citation analysis]	article	3
2015	Quanto Implied Correlation in a Multi-Lévy Framework In: Working Papers ECARES. [Full Text][Citation analysis]	paper	0
2017	Multivariate FX models with jumps: Triangles, Quantos and implied correlation In: European Journal of Operational Research. [Full Text][Citation analysis]	article	12