3 citations · 9 across the 9 of their papers we have counts for
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q-fin.CP2023★ 3 cited
The implied volatility surface (also) is path-dependent
Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
We propose a new model for the forecasting of both the implied volatility surfaces and the underlying asset price. In the spirit of Guyon and Lekeufack (2023) who are interested in…
math.ST2023
Cyber risk modeling using a two-phase Hawkes process with external excitation
Alexandre Boumezoued, Yousra Cherkaoui, Caroline Hillairet
With the growing digital transformation of the worldwide economy, cyber risk has become a major issue. As 1 % of the world's GDP (around $1,000 billion) is allegedly lost to cyberc…