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  3. Jérôme Detemple
jerome.detemple@cirano.qc.ca
Website

Expertise

Asset pricing, consumption-portfolio choice, derivative securities, energy markets, numerical methods

Biography

A CIRANO Associate Researcher and Fellow since 1994, is Professor at the Questrom School of Business at Boston University.

Holding a Ph.D. in Economics from the Louis Pasteur University and a Ph.D. in Finance from the Wharton School of the University of Pennsylvania, his recent research activities concern pricingof assets in the presence of frictions, portfolio allocation, pricing andcomputation of U.S. options, and intertemporal contract theory.

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CIRANO Publications by Jérôme Detemple

As an author

1 to 5 of 16 results
CS

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes

Jérôme Detemple, René Garcia and Marcel Rindisbacher

Elections and Democratic Processes, Simulation and Digital Transformation
CS

A Monte-Carlo Method for Optimal Portfolios

Jérôme Detemple, René Garcia and Marcel Rindisbacher

Simulation
CS

The Valuation of Volatility Options

Jérôme Detemple and Carlton Osakwe

CS

American Options: Symmetry Properties

Jérôme Detemple

CS

Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach

Jérôme Detemple and Suresh Sundaresan

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes

A Monte-Carlo Method for Optimal Portfolios

The Valuation of Volatility Options

American Options: Symmetry Properties

Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach

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