Grégory Rayée
(Gregory Rayee)

Personal Details

First Name:	Gregory
Middle Name:
Last Name:	Rayee
Suffix:
RePEc Short-ID:	pra387
	[This author has chosen not to make the email address public]

Affiliation

European Centre for Advanced Research in Economics and Statistics (ECARES)
Solvay Brussels School of Economics and Management
Université Libre de Bruxelles

Bruxelles, Belgium
http://ecares.org/
RePEc:edi:arulbbe (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Griselda Deelstra & Gr'egory Ray'ee, 2012. "Local Volatility Pricing Models for Long-dated FX Derivatives," Papers 1204.0633, arXiv.org.
   • Griselda Deelstra & Gr�gory Ray�e, 2013. "Local Volatility Pricing Models for Long-Dated FX Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(4), pages 380-402, September.

   Cited by:

   1. Recchioni, M.C. & Sun, Y., 2016. "An explicitly solvable Heston model with stochastic interest rate," European Journal of Operational Research, Elsevier, vol. 249(1), pages 359-377.
   2. Orcan Ogetbil & Narayan Ganesan & Bernhard Hientzsch, 2020. "Calibrating Local Volatility Models with Stochastic Drift and Diffusion," Papers 2009.14764, arXiv.org, revised May 2023.
   3. Simonella, Roberta & Vázquez, Carlos, 2023. "XVA in a multi-currency setting with stochastic foreign exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 59-79.
   4. Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2017. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1257-1275, August.
      • Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi, 2016. "Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model," Working Papers 2016/23, Economics Department, Universitat Jaume I, Castellón (Spain).
   5. Julien Hok & Shih-Hau Tan, 2019. "Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 609-637, December.
   6. Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2020. "Smile Modeling In Commodity Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(03), pages 1-28, May.
      • Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2018. "Smile Modelling in Commodity Markets," Papers 1808.09685, arXiv.org, revised Jan 2020.
   7. Griselda Deelstra & Gr'egory Ray'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
      • Deelstra, Griselda & Rayée, Grégory, 2013. "Pricing Variable Annuity Guarantees in a local volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 650-663.
   8. Andrei Cozma & Matthieu Mariapragassam & Christoph Reisinger, 2015. "Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets," Papers 1501.06084, arXiv.org, revised Oct 2016.
   9. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.

2. Griselda Deelstra & Gr'egory Ray'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
   • Deelstra, Griselda & Rayée, Grégory, 2013. "Pricing Variable Annuity Guarantees in a local volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 650-663.

   Cited by:

   1. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
   2. Yichen Han & Dongchen Li & Kun Fan & Jiaxin Wan & Luyan Li, 2024. "Valuation of a Mixture of GMIB and GMDB Variable Annuity," Mathematics, MDPI, vol. 12(3), pages 1-22, January.
   3. Gan, Guojun & Lin, X. Sheldon, 2015. "Valuation of large variable annuity portfolios under nested simulation: A functional data approach," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 138-150.
   4. Tang, Chun-Hua, 2018. "Subjective value of the guarantees embedded in public cash-balance pension plans," Journal of Pension Economics and Finance, Cambridge University Press, vol. 17(2), pages 231-250, April.
   5. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
   6. Hieber, Peter, 2017. "Cliquet-style return guarantees in a regime switching Lévy model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 138-147.
   7. Delong, Łukasz, 2014. "Pricing and hedging of variable annuities with state-dependent fees," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 24-33.

3. Fr'ed'eric Bossens & Gr'egory Ray'ee & Nikos S. Skantzos & Griselda Deelstra, 2009. "Vanna-Volga methods applied to FX derivatives : from theory to market practice," Papers 0904.1074, arXiv.org, revised May 2010.
   • Frédéric Bossens & Grégory Rayée & Nikos S. Skantzos & Griselda Deelstra, 2010. "Vanna-Volga Methods Applied To Fx Derivatives: From Theory To Market Practice," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(08), pages 1293-1324.

   Cited by:

   1. Sonali Jain & Jayanth R. Varma & Sobhesh Kumar Agarwalla, 2019. "Indian equity options: Smile, risk premiums, and efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 150-163, February.
   2. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
   3. Griselda Deelstra & Gr'egory Ray'ee, 2012. "Local Volatility Pricing Models for Long-dated FX Derivatives," Papers 1204.0633, arXiv.org.
      • Griselda Deelstra & Gr�gory Ray�e, 2013. "Local Volatility Pricing Models for Long-Dated FX Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(4), pages 380-402, September.
   4. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
   5. Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
   6. J. Mart'in Ovejero, 2022. "Vanna-Volga pricing for single and double barrier FX options," Papers 2211.12652, arXiv.org, revised Nov 2022.
   7. Markus Hertrich & Heinz Zimmermann, 2017. "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 567-578, March.
      • Hertrich, Markus & Zimmermann, Heinz, 2015. "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Working papers 2015/09, Faculty of Business and Economics - University of Basel.
   8. Hertrich Markus, 2016. "The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone," Review of Economics, De Gruyter, vol. 67(1), pages 91-120, May.
      • Hertrich, Markus, 2015. "The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone," MPRA Paper 67839, University Library of Munich, Germany.
   9. Markus Hertrich, 2015. "A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 151(III), pages 227-260, September.
   10. Hertrich, Markus, 2020. "Foreign exchange interventions under a one-sided target zone regime and the Swiss franc," Discussion Papers 21/2020, Deutsche Bundesbank.

Articles

1. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.

   Cited by:

   1. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
   2. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
   3. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers 14/2021, University of Verona, Department of Economics.
      • Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
   4. Ballotta, Laura & Rayée, Grégory, 2022. "Smiles & smirks: Volatility and leverage by jumps," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1145-1161.
   5. Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
   6. Michele Leonardo Bianchi & Gian Luca Tassinari, 2018. "Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform," Papers 1805.05584, arXiv.org, revised May 2018.
   7. Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
   8. Deelstra, Griselda & Hieber, Peter, 2023. "Randomization and the valuation of guaranteed minimum death benefits," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1218-1236.
   9. Erdinc Akyildirim & Alper A. Hekimoglu & Ahmet Sensoy & Frank J. Fabozzi, 2023. "Extending the Merton model with applications to credit value adjustment," Annals of Operations Research, Springer, vol. 326(1), pages 27-65, July.

2. Deelstra, Griselda & Rayée, Grégory & Vanduffel, Steven & Yao, Jing, 2014. "Using Model-Independent Lower Bounds To Improve Pricing Of Asian Style Options In Lévy Markets," ASTIN Bulletin, Cambridge University Press, vol. 44(2), pages 237-276, May.

   Cited by:

   1. Florian Stebegg, 2014. "Model-Independent Pricing of Asian Options via Optimal Martingale Transport," Papers 1412.1429, arXiv.org.
   2. Zhou, Ming & Dhaene, Jan & Yao, Jing, 2018. "An approximation method for risk aggregations and capital allocation rules based on additive risk factor models," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 92-100.

3. Griselda Deelstra & Gr�gory Ray�e, 2013. "Local Volatility Pricing Models for Long-Dated FX Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(4), pages 380-402, September.
   • Griselda Deelstra & Gr'egory Ray'ee, 2012. "Local Volatility Pricing Models for Long-dated FX Derivatives," Papers 1204.0633, arXiv.org.
   See citations under working paper version above.
4. Deelstra, Griselda & Rayée, Grégory, 2013. "Pricing Variable Annuity Guarantees in a local volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 650-663.
   • Griselda Deelstra & Gr'egory Ray'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453, arXiv.org, revised Apr 2012.
   See citations under working paper version above.
5. Frédéric Bossens & Grégory Rayée & Nikos S. Skantzos & Griselda Deelstra, 2010. "Vanna-Volga Methods Applied To Fx Derivatives: From Theory To Market Practice," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(08), pages 1293-1324.
   • Fr'ed'eric Bossens & Gr'egory Ray'ee & Nikos S. Skantzos & Griselda Deelstra, 2009. "Vanna-Volga methods applied to FX derivatives : from theory to market practice," Papers 0904.1074, arXiv.org, revised May 2010.
   See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Gregory Rayee
(Gregory Rayee) should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.