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Grégory Rayée

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This is information that was supplied by Grégory Rayée in registering through RePEc. If you are Grégory Rayée , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Grégory
Middle Name:
Last Name: Rayée
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RePEc Short-ID: pra387

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Affiliation

European Centre for Advanced Research in Economics and Statistics (ECARES)
Solvay Brussels School of Economics and Management
Université Libre de Bruxelles
Location: Bruxelles, Belgium
Homepage: http://ecares.org/
Email:
Phone: (32 2) 650 30 75
Fax: (32 2) 650 44 75
Postal: Av. F.D., Roosevelt, 39, 1050 Bruxelles
Handle: RePEc:edi:arulbbe (more details at EDIRC)

Works

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Working papers

  1. Griselda Deelstra & Gr\'egory Ray\'ee, 2012. "Local Volatility Pricing Models for Long-dated FX Derivatives," Papers 1204.0633, arXiv.org.
  2. Griselda Deelstra & Gr\'egory Ray\'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
  3. Fr\'ed\'eric Bossens & Gr\'egory Ray\'ee & Nikos S. Skantzos & Griselda Deelstra, 2009. "Vanna-Volga methods applied to FX derivatives : from theory to market practice," Papers 0904.1074, arXiv.org, revised May 2010.

Articles

  1. Deelstra, Griselda & Rayée, Grégory, 2013. "Pricing Variable Annuity Guarantees in a local volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 650-663.
  2. Griselda Deelstra & Grégory Rayée, 2013. "Local Volatility Pricing Models for Long-Dated FX Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(4), pages 380-402, September.
  3. Frédéric Bossens & Grégory Rayée & Nikos S. Skantzos & Griselda Deelstra, 2010. "Vanna-Volga Methods Applied To Fx Derivatives: From Theory To Market Practice," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(08), pages 1293-1324.

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. No paper was announced in a field specific NEP report

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