Articles by Julien Guyon
Reconciling P- and Q-calibration with path-dependent volatility
A mixed approach designed to improve calibration robustness is presented
Vinicius fortune: quantifying luck in the World Cup draw, by Julien Guyon
Julien Guyon explains how bias, variance and luck affect teams in this summer’s tournament – and explores wider relevance for portfolio managers
Calibration of local correlation models to basket smiles
The authors build a whole family of local correlation models by combining the particle method with a new, simple idea.