Dylan Possamaï

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

3

DOWNLOADS

131

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (3)

Efficient Simulation of the Double Heston Model

The IUP Journal of Computational Mathematics, Vol. IV, No. 3, September 2011, pp. 23-73
Posted: 06 Jul 2012
Dylan Possamaï and Pierre Gauthier
Columbia University and Daiwa Capital Markets Europe

Abstract:

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Double Heston model, Stochastic volatility, Equity options, Characteristic function, Discretization scheme

2.

Equilibrium Asset Pricing with Transaction Costs

Number of pages: 32 Posted: 11 Feb 2019 Last Revised: 30 Sep 2020
Martin Herdegen, Johannes Muhle-Karbe and Dylan Possamaï
University of Warwick - Department of Statistics, Imperial College London - Department of Mathematics and Columbia University
Downloads 96 (347,713)
Citation 6

Abstract:

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Asset Pricing, Radner Equilibrium, Transaction Costs, Forward-Backward SDEs

3.

Optimal Electricity Demand Response Contracting With Responsiveness Incentives

Number of pages: 36 Posted: 26 Nov 2018 Last Revised: 09 Jun 2019
René Aïd, Dylan Possamaï and Nizar Touzi
Université Paris-Dauphine, Columbia University and Ecole Polytechnique, Paris
Downloads 35 (563,195)
Citation 1

Abstract:

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responsiveness incentive, optimal contract, demand response