15
Publications
1.3K
Citations
13
H-Index
2000
Active since
Valdo Durrleman is an author at École Polytechnique specializing in volatility modeling, option pricing, and business.
Top concepts
Volatility ModelingFinanceBusinessAsset PricingOption PricingStochastic CalculusMultivariate Stochastic VolatilityCopulasStatisticsEngineering
Publications per year
2000–2009
15
15
Copulas for Finance - A Reading Guide and Some Applications
Éric Bouyé, Valdo Durrleman, Ashkan Nikeghbali et al. · SSRN Electronic Journal · 2000 · 434 citations · Full text
Pricing and Hedging Spread Options
René Carmona, Valdo Durrleman · SIAM Review · 2003 · 354 citations
Mathematical Programming, Option Pricing, Computational Problems +13
Which Copula is the Right One?
Valdo Durrleman, Ashkan Nikeghbali, Thierry Roncalli · SSRN Electronic Journal · 2000 · 146 citations · Full text
Stochastic Models of Implied Volatility Surfaces
Rama Cont, José Da Fonseca, Valdo Durrleman · Economic Notes · 2002 · 82 citations
From implied to spot volatilities
Valdo Durrleman · Finance and Stochastics · 2009 · 53 citations
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