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Member's Details
Associate Fellows
Email
jerome.detemple@cirano.qc.ca
University
Boston University
617 353-4297
617 353-6667
Function(s)
Ph.D., Economics, Université Louis Pasteur, Strasbourg (France)
Ph.D., Finance, Wharton School of the University of Pennsylvania
Morton H. and Charlotte Friedman Professor in Management
Questrom School of Business
Boston University
Domain(s) of interest
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...

List of scientific publications at CIRANO by Jérôme Detemple

Code Publications
2003s-11 WP Jérôme B. Detemple, René Garcia et Marcel Rindisbacher. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
2000s-05 WP Jérôme B. Detemple, René Garcia et Marcel Rindisbacher. A Monte-Carlo Method for Optimal Portfolios
99s-43 WP Jérôme B. Detemple et Carlton Osakwe. The Valuation of Volatility Options
99s-45 WP Jérôme B. Detemple. American Options: Symmetry Properties
99s-08 WP Jérôme B. Detemple et Suresh Sundaresan. Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach
98s-41 WP Jérôme B. Detemple et Angel Serrat. Dynamic Equilibrium with Liquidity Constraints
97s-11 WP Jérôme B. Detemple et Piero Gottardi. Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets
97s-12 WP Jérôme B. Detemple et Shashidhar Murthy. Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints
96s-26 WP Mark Broadie, Jérôme B. Detemple, Eric Ghysels et Olivier Torrès. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation
96s-24 WP Mark Broadie, Jérôme B. Detemple, Eric Ghysels et Olivier Torrès. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices
96s-17 WP Mark Broadie et Jérôme B. Detemple. Recent Advances in Numerical Methods for Pricing Derivative Securities
96s-16 WP Mark Broadie et Jérôme B. Detemple. American Options on Dividend-Paying Assets
95s-47 WP Jérôme B. Detemple et Christos I. Giannikos. Asset and Commodity Prices with Multiattribute Durable Goods
94s-07 WP Mark Broadie et Jérôme B. Detemple. American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
94s-08 WP Mark Broadie et Jérôme B. Detemple. The Valuation of American Options on Multiple Assets
94s-01 WP Mark Broadie et Jérôme B. Detemple. American Capped Call Options on Dividend Paying Assets

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