Christophe Chorro

Discipline

Economies et finances (18)

Type de document

Autres (9) Articles (9) Livres et chapitres d'ouvrages (1)

Co-auteur

Florian Ielpo

Dominique Guegan

Eugénie Terreaux

Thibault Soler

Benoît Sévi

Frédéric Pascal

Jean-Philippe Ovarlez

Hanjarivo Lalaharison

Emmanuelle Jay

Rahantamialisoa Fanirisoa

Philippe de Peretti

Nicolas Bouleau

Date

Source

HAL-SHS : économie et finance (19)

Mot-clé

Finance (19) Finance (14) Paper (10) Diplomatics (9) Models (9) distribution (8) Dynamics (8) papier (7) Dynamics (7) modèle (6) effet (6) Methods (6) Example (6) Methods (6) Prices (6) état (5) méthodologie (5) information (5) abords (agglomération) (5) Centre (5) Employment (5) Treatment (5) Methodology (5) Time (5) Statistics (5) Pricing (5) Methodology (5) International Standard Serial Numbers (5) Equity (5) Diffusion processes (5)

Documents écrit par Christophe Chorro (19) | parle de Christophe Chorro (2)

Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures

Christophe Chorro et al. (22 janv. 2021)

Option valuation with IG-GARCH model and a U-shaped pricing kernel

Christophe Chorro et al.

The contribution of intraday jumps to forecasting the density of returns

Christophe Chorro et al.

Improving portfolios global performance using a cleaned and robust covariance matrix estimate

Emmanuelle Jay et al. (15 mars 2020)

Improving portfolios global performance using a cleaned and robust covariance matrix estimate

Emmanuelle Jay et al.

Testing for leverage effects in the returns of US equities

Christophe Chorro et al.

The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process

Nicolas Bouleau et al. (1 août 2017)

Testing for Leverage Effects in the Returns of US Equities

Christophe Chorro et al.

The contribution of jumps to forecasting the density of returns

Christophe Chorro et al.

A simple probabilistic approach of the Yard-Sale model

Christophe Chorro (1 mai 2016)

The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process

Nicolas Bouleau et al.

A time series approach to option pricing: Models, Methods and Empirical Performances

Christophe Chorro et al. (1 janv. 2015)

Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations

Christophe Chorro et al. (2012)

Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes

Christophe Chorro et al.

Option pricing for GARCH-type models with generalized hyperbolic innovations

Christophe Chorro et al.

Martingalized Historical approach for Option Pricing

Christophe Chorro et al.

Martingalized Historical approach for Option Pricing

Christophe Chorro et al.

Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results

Christophe Chorro et al.

Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology

Christophe Chorro et al.