Lorenzo Bergomi

Societe Generale

Paris-La Défense, Paris 92987

France

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 1,404

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26,523

SSRN CITATIONS
Rank 11,625

SSRN RANKINGS

Top 11,625

in Total Papers Citations

13

CROSSREF CITATIONS

92

Scholarly Papers (10)

1.

Smile Dynamics I

Number of pages: 14 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 5,935 (1,605)
Citation 29

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2.

Smile Dynamics II

Number of pages: 14 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 4,535 (2,562)
Citation 49

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3.

Smile Dynamics III

Number of pages: 12 Posted: 24 Oct 2009
Lorenzo Bergomi
Societe Generale
Downloads 3,945 (3,268)
Citation 26

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4.

Smile Dynamics IV

Number of pages: 12 Posted: 13 Dec 2009
Lorenzo Bergomi
Societe Generale
Downloads 3,653 (3,704)
Citation 15

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5.

The Smile in Stochastic Volatility Models

Number of pages: 15 Posted: 03 Dec 2011 Last Revised: 06 May 2012
Lorenzo Bergomi and Julien Guyon
Societe Generale and Bloomberg L.P.
Downloads 3,267 (4,513)
Citation 3

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6.

Local-Stochastic Volatility: Models and Non-Models

Number of pages: 9 Posted: 21 Jan 2017 Last Revised: 20 Jul 2017
Lorenzo Bergomi
Societe Generale
Downloads 1,586 (14,536)
Citation 2

Abstract:

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Local volatility, Stochastic volatility

7.

Correlations in Asynchronous Markets

Number of pages: 10 Posted: 09 Jul 2010
Lorenzo Bergomi
Societe Generale
Downloads 1,563 (14,872)
Citation 2

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8.

Stochastic Volatility Modeling: Chapter 1 - Introduction

Chapter 1 of Stochastic Volatility Modeling, published by CRC/Chapman & Hall, 2016
Number of pages: 33 Posted: 11 Jan 2016
Lorenzo Bergomi
Societe Generale
Downloads 1,042 (27,297)

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Stochastic volatility

9.

Stochastic Volatility Modeling: Chapter 2 - Local Volatility

Chapter 2 of Stochastic Volatility Modeling, published by CRC/Chapman & Hall, 2016
Number of pages: 86 Posted: 11 Jan 2016 Last Revised: 13 Jan 2016
Lorenzo Bergomi
Societe Generale
Downloads 722 (45,418)
Citation 1

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Local volatility, stochastic volatility

10.

Parametrization of Correlations in Multi-Stochastic Volatility/Local-Stochastic Volatility Models

Number of pages: 10 Posted: 05 May 2020 Last Revised: 08 May 2020
Lorenzo Bergomi
Societe Generale
Downloads 275 (142,658)

Abstract:

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Stochastic Volatility, Local Volatility, Multi-Asset, Correlation