109 citations · 129 across the 4 of their papers we have counts for
4 papers
Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
Beatrice Acciaio, Julien Guyon
It has often been stated that, within the class of continuous stochastic volatility models calibrated to vanillas, the price of a VIX future is maximized by the Dupire local volati…
Bounds for VIX Futures given S&P 500 Smiles
Julien Guyon, Romain Menegaux, Marcel Nutz
We derive sharp bounds for the prices of VIX futures using the full information of S&P 500 smiles. To that end, we formulate the model-free sub/superreplication of the VIX by tradi…
Limit theorems for bifurcating Markov chains. Application to the detection of cellular aging
Julien Guyon
We propose a general method to study dependent data in a binary tree, where an individual in one generation gives rise to two different offspring, one of type 0 and one of type 1,…
Euler Scheme and Tempered Distributuions
Julien Guyon
Given a smooth R^d-valued diffusion, we study how fast the Euler scheme with time step 1/n converges in law. To be precise, we look for which class of test functions f the approxim…