Jérôme Detemple

According to our database1, Jérôme Detemple authored at least 9 papers between 2002 and 2018.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2018
American Options with Discontinuous Two-Level Caps.
SIAM J. Financial Math., 2018

2014
Portfolio Selection: A Review.
J. Optimization Theory and Applications, 2014

2012
An optimal stopping problem with a reward constraint.
Finance and Stochastics, 2012

2007
Monte Carlo methods for derivatives of options with discontinuous payoffs.
Computational Statistics & Data Analysis, 2007

2005
Asymptotic Properties of Monte Carlo Estimators of Derivatives.
Management Science, 2005

Representation formulas for Malliavin derivatives of diffusion processes.
Finance and Stochastics, 2005

2004
ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications.
Management Science, 2004

2003
Non-addictive habits: optimal consumption-portfolio policies.
J. Economic Theory, 2003

2002
The Valuation of American Options for a Class of Diffusion Processes.
Management Science, 2002


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