David Krief

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Papers (3)

1. Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing math.PR · 2018 · author #2
2. Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing q-fin.PR · 2018 · author #2
3. Approximate Option Pricing in the L\'evy Libor Model q-fin.PR · 2015 · author #2

Mentions

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Frequent Coauthors

• Peter Tankov 3 shared papers
• Zorana Grbac 2 shared papers
• Aur\'elien Alfonsi 1 shared papers