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Grégory Rayée · Study

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Grégory Rayée

3 works· latest 2017· 1 institutionscluster: provisional

h-index3

i103

Citations84

Works here3

10

12

17

Most cited in this library

Local Volatility Pricing Models for Long-Dated FX Derivatives2012 · 31 citations
VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE2010 · 29 citations
Multivariate FX models with jumps: Triangles, Quantos and implied correlation2017 · 24 citations

Works

3 shown

Multivariate FX models with jumps: Triangles, Quantos and implied correlation

European Journal of Operational Research·2017·3 authors·Open access

24citations

Local Volatility Pricing Models for Long-Dated FX Derivatives

Applied Mathematical Finance·2012·2 authors·Open access

31citations

VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE

International Journal of Theoretical and Applied Finance·2010·4 authors·Open access

29citations