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Valdo Durrleman · Study
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Author
Valdo Durrleman
9 works
· latest 2009
· 4 institutions
cluster: provisional
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9
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9
Citations
1,243
Works here
9
02
03
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07
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09
Most cited in this library
Copulas for Finance - A Reading Guide and Some Applications
2007 · 426 citations
Pricing and Hedging Spread Options
2003 · 338 citations
Which Copula is the Right One?
2007 · 145 citations
Stochastic Models of Implied Volatility Surfaces
2002 · 92 citations
From implied to spot volatilities
2009 · 80 citations
Works
9 shown
From implied to spot volatilities
Finance and Stochastics
·
2009
·
1 author
·
Open access
80
citations
Convergence of At-The-Money Implied Volatilities to the Spot Volatility
Journal of Applied Probability
·
2008
·
1 author
30
citations
Copulas for Finance - A Reading Guide and Some Applications
SSRN Electronic Journal
·
2007
·
5 authors
·
preprint
·
Open access
426
citations
Which Copula is the Right One?
SSRN Electronic Journal
·
2007
·
3 authors
·
preprint
·
Open access
145
citations
A Simple Transformation of Copulas
SSRN Electronic Journal
·
2007
·
3 authors
·
preprint
·
Open access
35
citations
Copulas: An Open Field for Risk Management
SSRN Electronic Journal
·
2007
·
5 authors
·
preprint
·
Open access
25
citations
Generalizing the Black–Scholes formula to multivariate contingent claims
The Journal of Computational Finance
·
2005
·
2 authors
72
citations
Pricing and Hedging Spread Options
SIAM Review
·
2003
·
2 authors
338
citations
Stochastic Models of Implied Volatility Surfaces
Economic Notes
·
2002
·
3 authors
·
Open access
92
citations