Julien Guyon

According to our database, Julien Guyon authored at least 4 papers between 2004 and 2022.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2022

The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew.

Julien Guyon

SIAM J. Financial Math., December, 2022

2020

Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures.

Beatrice Acciaio, Julien Guyon

SIAM J. Financial Math., 2020

2017

Bounds for VIX futures given S&P 500 smiles.

Julien Guyon, Romain Menegaux, Marcel Nutz

Finance Stochastics, 2017

2004

An Integrated Development Environment for Pattern Matching Programming.

Julien Guyon, Pierre-Etienne Moreau, Antoine Reilles

Proceedings of the Second Eclipse Technology Exchange: eTX and the Eclipse Phenomenon, 2004