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Expertise

Asset valuation, Derivative valuation

Biography

Jérôme Detemple has a Ph.D. in Finance from the Wharton School of the University of Pennsylvania and a doctorat d'État in economics from the Institut Louis Pasteur at the University of Strasbourg, and is a professor at the BostonUniversity School of Management. 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

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
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

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