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Jean-Philippe Aguilar
Jean-Philippe Aguilar
Société Générale
Verified email at sgcib.com
Title
Cited by
Cited by
Year
Muon anomaly from lepton vacuum polarization and the Mellin-Barnes representation
JP Aguilar, E De Rafael, D Greynat
Physical Review D 77 (9), 093010, 2008
662008
Applications of the fractional diffusion equation to option pricing and risk calculations
JP Aguilar, J Korbel, Y Luchko
Mathematics 7 (9), 796, 2019
262019
Series representation of the pricing formula for the European option driven by space-time fractional diffusion
JP Aguilar, C Coste, J Korbel
Fract. Calc. Appl. Anal. 21 (4), 981-1004, 2018
202018
Some pricing tools for the Variance Gamma model
JP Aguilar
International Journal of Theoretical and Applied Finance 23 (4), 2050025, 2020
172020
Option pricing models driven by the space-time fractional diffusion: series representation and applications
JP Aguilar, J Korbel
Fractal and Fractional 2 (1), 15, 2018
172018
Pricing, risk and volatility in subordinated market models
JP Aguilar, JL Kirkby, J Korbel
Risks 8 (4), 124, 2020
122020
Simple formulas for pricing and hedging European options in the finite moment log-stable model
JP Aguilar, J Korbel
Risks 7 (2), 36, 2019
122019
Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
JL Kirkby, JP Aguilar
Scandinavian Actuarial Journal 2023 (6), 624-654, 2023
82023
Explicit option valuation in the exponential NIG model
JP Aguilar
Quantitative Finance 21 (8), 1281-1299, 2021
82021
Non-Gaussian analytic option pricing: a closed formula for the Lévy-stable model
JP Aguilar, CG Coste, J Korbel
Available at SSRN 2828673, 2017
82017
The effect of classical noise on a quantum two-level system
JP Aguilar, N Berglund
Journal of Mathematical Physics 49 (10), 2008
82008
On expansions for the Black-Scholes prices and hedge parameters
JP Aguilar
Journal of Mathematical Analysis and Applications 478 (2), 973-989, 2019
72019
Closed-form option pricing for exponential Lévy models: a residue approach
JP Aguilar, JL Kirkby
Quantitative Finance 23 (2), 251-278, 2023
62023
Robust and nearly exact option pricing with bilateral gamma processes
JP Aguilar, J Kirkby
The Journal of Derivatives 30 (1), 8-31, 2022
52022
Sex differences in clinical characteristics and outcomes of patients with SARS-CoV-2-infection admitted to intensive care units in Austria
A Kautzky-Willer, M Kaleta, SD Lindner, M Leutner, S Thurner, P Klimek
Journal of Personalized Medicine 12 (4), 517, 2022
52022
A structural approach to default modelling with pure jump processes
JP Aguilar, N Pesci, V James
Applied Mathematical Finance 28 (1), 48-78, 2021
52021
A series representation for the Black-Scholes formula
JP Aguilar
arXiv preprint arXiv:1710.01141, 2017
42017
Pricing path-independent payoffs with exotic features in the fractional diffusion model
JP Aguilar
Fractal and Fractional 4 (2), 16, 2020
32020
On the quantitative properties of some market models involving fractional derivatives
JP Aguilar, J Korbel, N Pesci
Mathematics 9 (24), 3198, 2021
22021
The value of power-related options under spectrally negative Lévy processes
JP Aguilar
Review of Derivatives Research 24, 173-196, 2021
22021
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