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researcher

Alexandre Boumezoued

11 papers hereh-index 6178 citations32 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • sole author1
  • first author4
  • middle author5
  • last author1

Across the 11 of 11 papers where every author was matched, so the position is known.

fields
  • q-fin.CP3
  • q-fin.RM3
  • math.ST2
  • math.OC1
  • math.PR1
  • q-fin.ST1

identity via Semantic Scholar / OpenAlex

activity
20112026
most citedThe implied volatility surface (also) is path-dependent

3 citations · 9 across the 9 of their papers we have counts for

collaborators
Showing 2011Show all

1 paper · 1 filter

q-fin.RM2011★ 3 cited

One-year reserve risk including a tail factor: closed formula and bootstrap approaches

Alexandre Boumezoued, Yoboua Angoua, Laurent Devineau +1

In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.