Tristan Guillaume

Personal Details

First Name:	Tristan
Middle Name:
Last Name:	Guillaume
Suffix:
RePEc Short-ID:	pgu133
	[This author has chosen not to make the email address public]

Affiliation

Théorie Économique, Modélisation, Application (THEMA)
Université de Cergy-Pontoise

Cergy-Pontoise, France
https://thema.u-cergy.fr/
RePEc:edi:themafr (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

1. Tristan Guillaume, 2019. "On the multidimensional Black–Scholes partial differential equation," Annals of Operations Research, Springer, vol. 281(1), pages 229-251, October.

   Cited by:

   1. Shih-Hsien Tseng & Tien Son Nguyen & Ruei-Ci Wang, 2021. "The Lie Algebraic Approach for Determining Pricing for Trade Account Options," Mathematics, MDPI, vol. 9(3), pages 1-9, January.
   2. Tianchen Zhao & Chuhao Sun & Asaf Cohen & James Stokes & Shravan Veerapaneni, 2022. "Quantum-inspired variational algorithms for partial differential equations: Application to financial derivative pricing," Papers 2207.10838, arXiv.org.
   3. Chaeyoung Lee & Jisang Lyu & Eunchae Park & Wonjin Lee & Sangkwon Kim & Darae Jeong & Junseok Kim, 2020. "Super-Fast Computation for the Three-Asset Equity-Linked Securities Using the Finite Difference Method," Mathematics, MDPI, vol. 8(3), pages 1-13, February.
   4. Darko Mitrovic, 2023. "Pre-electoral coalition agreement from the Black-Scholes point of view," Papers 2310.16424, arXiv.org, revised Feb 2024.

2. Tristan Guillaume, 2016. "An Analytically Tractable Model for Pricing Multiasset Options with Correlated Jump-Diffusion Equity Processes and a Two-Factor Stochastic Yield Curve," Journal of Applied Mathematics, Hindawi, vol. 2016, pages 1-14, October.

   Cited by:

   1. Soleymani, Fazlollah & Akgül, Ali, 2019. "Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach," Chaos, Solitons & Fractals, Elsevier, vol. 119(C), pages 298-309.

3. Tristan Guillaume, 2015. "On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function," Journal of Probability and Statistics, Hindawi, vol. 2015, pages 1-22, September.

   Cited by:

   1. Hangsuck Lee & Gaeun Lee & Seongjoo Song, 2022. "Multi‐step reflection principle and barrier options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 692-721, April.
   2. Lee, Hangsuck & Lee, Gaeun & Song, Seongjoo, 2023. "Min–max multi-step barrier options and their variants," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).

4. Tristan Guillaume, 2015. "Analytical valuation of autocallable notes," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-23.

   Cited by:

   1. Huang, Min & Luo, Guo, 2022. "A simple and efficient numerical method for pricing discretely monitored early-exercise options," Applied Mathematics and Computation, Elsevier, vol. 422(C).
   2. Min Huang & Guo Luo, 2019. "A simple and efficient numerical method for pricing discretely monitored early-exercise options," Papers 1905.13407, arXiv.org, revised Jun 2019.

5. Tristan Guillaume, 2008. "Making the best of best-of," Review of Derivatives Research, Springer, vol. 11(1), pages 1-39, March.

   Cited by:

   1. Masahiko Egami & Tadao Oryu, 2010. "Options on Multiple Assets in a Mean-Reverting Model," Discussion papers e-10-005, Graduate School of Economics Project Center, Kyoto University.
   2. Tristan Guillaume, 2019. "On the multidimensional Black–Scholes partial differential equation," Annals of Operations Research, Springer, vol. 281(1), pages 229-251, October.
   3. Michael Samet & Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Ra'ul Tempone, 2022. "Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\'evy Models," Papers 2203.08196, arXiv.org, revised Oct 2023.

6. Tristan Guillaume, 2001. "valuation of options on joint minima and maxima," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 209-233.

   Cited by:

   1. Tristan Guillaume, 2011. "Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering," Post-Print hal-00924277, HAL.
   2. Grant Armstrong, 2001. "Valuation formulae for window barrier options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(4), pages 197-208.
   3. Lee, Hangsuck & Lee, Gaeun & Song, Seongjoo, 2023. "Min–max multi-step barrier options and their variants," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).

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