48 citations · 83 across the 12 of their papers we have counts for
3 papers · 1 filter
On a Nonlinear Partial Integro-Differential Equation
Frederic Abergel, Remi Tachet
Consistently fitting vanilla option surfaces is an important issue when it comes to modelling in finance. Local volatility models introduced by Dupire in 1994 are widely used to pr…
Financial bubbles analysis with a cross-sectional estimator
Frederic Abergel, Nicolas Huth, Ioane Muni Toke
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical t…
Econophysics: Empirical facts and agent-based models
Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca +1
This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words Eco…