Expertise

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

Biography

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

Holding a Ph.D. in Finance from the from the Wharton School of the University of Pennsylvania and a Doctorat d'État in Economics from the Louis-Pasteur University, 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
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Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes

Jérôme Detemple, René Garcia and Marcel Rindisbacher

Elections and Democratic Processes, Simulation and Digital Transformation
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A Monte-Carlo Method for Optimal Portfolios

Jérôme Detemple, René Garcia and Marcel Rindisbacher

Simulation
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The Valuation of Volatility Options

Jérôme Detemple and Carlton Osakwe

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American Options: Symmetry Properties

Jérôme Detemple

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

Jérôme Detemple and Suresh Sundaresan