All Stories

  1. Calibration and option pricing with stochastic volatility and double exponential jumps

    Article • Journal of Computational and Applied Mathematics, September 2025, Elsevier

    Jean-Philippe AGUILAR

  2. Return to the barrier: option pricing and calibration in foreign exchange markets

    Article • The Journal of Risk, January 2025, Incisive Media

    Jean-Philippe AGUILAR

  3. An Esscher-Based Algorithm for Computing Default Probabilities in Structural Lévy Models

    Article • The Journal of Fixed Income, September 2024, Institutional Investor Journals

    Jean-Philippe AGUILAR

  4. The bilateral Gamma motion: Calibration and option pricing

    Article • Frontiers of Mathematical Finance, January 2024, American Institute of Mathematical Sciences (AIMS)

    Jean-Philippe AGUILAR

  5. The return barrier and return timer option with pricing under Lévy processes

    Article • Expert Systems with Applications, December 2023, Elsevier

    Jean-Philippe AGUILAR

  6. Closed-form option pricing for exponential Lévy models: a residue approach

    Article • Quantitative Finance, December 2022, Taylor & Francis

    Jean-Philippe AGUILAR

  7. Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees

    Article • Scandinavian Actuarial Journal, November 2022, Taylor & Francis

    Jean-Philippe AGUILAR

  8. Inflation Forecasts and European Asset Returns: A Regime-Switching Approach

    Article • Journal of Risk and Financial Management, October 2022, MDPI AG

    Jean-Philippe AGUILAR

  9. Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes

    Article • The Journal of Derivatives, June 2022, Institutional Investor Journals

    Jean-Philippe AGUILAR

  10. On the Quantitative Properties of Some Market Models Involving Fractional Derivatives

    Article • Mathematics, December 2021, MDPI AG

    Jean-Philippe AGUILAR

  11. A Structural Approach to Default Modelling with Pure Jump Processes

    Article • Applied Mathematical Finance, August 2021, Taylor & Francis

    Jean-Philippe AGUILAR

  12. Explicit option valuation in the exponentialNIG model

    Article • Quantitative Finance, February 2021, Taylor & Francis

    Jean-Philippe AGUILAR

  13. The value of power-related options under spectrally negative Lévy processes

    Article • Review of Derivatives Research, January 2021, Springer Science + Business Media

    Jean-Philippe AGUILAR

  14. Closed-form option pricing for exponential Lévy models: a residue approach

    Article • SSRN Electronic Journal, January 2021, Elsevier

    Jean-Philippe AGUILAR

  15. Pricing, Risk and Volatility in Subordinated Market Models

    Article • Risks, November 2020, MDPI AG

    Jean-Philippe AGUILAR

  16. SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL

    Article • International Journal of Theoretical and Applied Finance, June 2020, World Scientific Pub Co Pte Lt

    Jean-Philippe AGUILAR

  17. Pricing Path-Independent Payoffs with Exotic Features in the Fractional Diffusion Model

    Article • Fractal and Fractional, April 2020, MDPI AG

    Jean-Philippe AGUILAR

  18. Applications of the Fractional Diffusion Equation to Option Pricing and Risk Calculations

    Article • Mathematics, September 2019, MDPI AG

    Jean-Philippe AGUILAR

  19. On expansions for the Black-Scholes prices and hedge parameters

    Article • Journal of Mathematical Analysis and Applications, June 2019, Elsevier

    Jean-Philippe AGUILAR

  20. Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model

    Article • Risks, April 2019, MDPI AG

    Jean-Philippe AGUILAR

  21. Series representation of the pricing formula for the European option driven by space-time fractional diffusion

    Article • Fractional Calculus and Applied Analysis, August 2018, De Gruyter

    Cyril Coste, Jean-Philippe AGUILAR

  22. Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications

    Article • Fractal and Fractional, March 2018, MDPI AG

    Jean-Philippe AGUILAR

  23. A Series Representation for the Black-Scholes Formula

    Article • SSRN Electronic Journal, January 2017, Elsevier

    Jean-Philippe AGUILAR

  24. Non-Gaussian Analytic Option Pricing: A Closed Formula for the LLvy-stable Model

    Article • SSRN Electronic Journal, January 2016, Elsevier

    Jean-Philippe AGUILAR

  25. The effect of classical noise on a quantum two-level system

    Article • Journal of Mathematical Physics, October 2008, American Institute of Physics

    Jean-Philippe AGUILAR

  26. Muon anomaly from lepton vacuum polarization and the Mellin-Barnes representation

    Article • Physical Review D, May 2008, American Physical Society (APS)

    Jean-Philippe AGUILAR