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Weak approximations and VIX option price expansions in forward variance curve models

Bourgey, F.; De Marco, Stefano; Gobet, Emmanuel - In: Quantitative finance 23 (2023) 9, pp. 1259-1283

Persistent link: https://www.econbiz.de/10014339914

A mean field game model for renewable investment under long-term uncertainty and risk aversion

Escribe, Célia; Garnier, Josselin; Gobet, Emmanuel - In: Dynamic games and applications : DGA 14 (2024) 5, pp. 1093-1130

Persistent link: https://www.econbiz.de/10015191150

Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations

Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier - In: Finance and stochastics 24 (2020) 3, pp. 633-675

Persistent link: https://www.econbiz.de/10012518073

Smart expansion and fast calibration for jump diffusions

Benhamou, Eric; Gobet, E.; Miri, M. - In: Finance and stochastics 13 (2009) 4, pp. 563-589

Persistent link: https://www.econbiz.de/10003899530

Analytical approximations of local-Heston volatility model and error analysis

Bompis, R.; Gobet, E. - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 920-961

Persistent link: https://www.econbiz.de/10011969079

Advanced Monte Carlo methods for barrier and related exotic options

Gobet, Emmanuel - 2009

Persistent link: https://www.econbiz.de/10003827024

Discrete time hedging errors for options with irregular payoffs

Gobet, Emmanuel; Temam, Emmanuel - In: Finance and stochastics 5 (2001) 3, pp. 357-367

Persistent link: https://www.econbiz.de/10001599284

Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options

Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113

Persistent link: https://www.econbiz.de/10001765655

Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed

Gobet, Emmanuel; Hoffmann, Marc; Reiß, Markus - 2002

Persistent link: https://www.econbiz.de/10001697748

Analytical Formulas for Local Volatility Model with Stochastic Rates

Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed - 2009

This paper presents new approximation formulae of European options in a local volatility model with stochastic interest rates. This is a companion paper to our work on perturbation methods for local volatility models http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1275872 for the case of...

Persistent link: https://www.econbiz.de/10014202471