Jérôme Detemple

Publication Activity (10 Years)

Years Active: 2002-2020
Publications (10 Years): 2

Top Topics

Stochastic Processes

Payoff Functions

Portfolio Selection

Top Venues

Finance Stochastics

J. Optim. Theory Appl.

SIAM J. Financial Math.

Eur. J. Oper. Res.

Publications

Jérôme Detemple, Souleymane Laminou Abdou, Franck Moraux
American step options. Eur. J. Oper. Res. 282 (1) (2020)
Jérôme Detemple, Yerkin Kitapbayev
American Options with Discontinuous Two-Level Caps. SIAM J. Financial Math. 9 (1) (2018)
Jérôme Detemple
Portfolio Selection: A Review. J. Optim. Theory Appl. 161 (1) (2014)
Jérôme Detemple, Weidong Tian, Jie Xiong
An optimal stopping problem with a reward constraint. Finance Stochastics 16 (3) (2012)
Jérôme Detemple, Marcel Rindisbacher
Monte Carlo methods for derivatives of options with discontinuous payoffs. Comput. Stat. Data Anal. 51 (7) (2007)
Jérôme Detemple, René Garcia, Marcel Rindisbacher
Asymptotic Properties of Monte Carlo Estimators of Derivatives. Manag. Sci. 51 (11) (2005)
Jérôme Detemple, René Garcia, Marcel Rindisbacher
Representation formulas for Malliavin derivatives of diffusion processes. Finance Stochastics 9 (3) (2005)
Mark Broadie, Jérôme Detemple
ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications. Manag. Sci. 50 (9) (2004)
Jérôme Detemple, Ioannis Karatzas
Non-addictive habits: optimal consumption-portfolio policies. J. Econ. Theory 113 (2) (2003)
Jérôme Detemple, Weidong Tian
The Valuation of American Options for a Class of Diffusion Processes. Manag. Sci. 48 (7) (2002)