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Julien Guyon
Publication Activity (10 Years)
Years Active: 2004-2022
Publications (10 Years): 3
Top Topics
Error Tolerance
Financial Markets
Communication Overhead
Semidefinite
Top Venues
SIAM J. Financial Math.
Finance Stochastics
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Publications
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Julien Guyon
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew.
SIAM J. Financial Math.
13 (4) (2022)
Beatrice Acciaio
,
Julien Guyon
Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures.
SIAM J. Financial Math.
11 (1) (2020)
Julien Guyon
,
Romain Menegaux
,
Marcel Nutz
Bounds for VIX futures given S&P 500 smiles.
Finance Stochastics
21 (3) (2017)
Julien Guyon
,
Pierre-Etienne Moreau
,
Antoine Reilles
An Integrated Development Environment for Pattern Matching Programming.
Electron. Notes Theor. Comput. Sci.
107 (2004)