Edit Profile (opens in new tab) Rayée, Grégory Compute Distance To: Compute Author ID: rayee.gregory Published as: Rayée, Grégory Documents Indexed: 5 Publications since 2010 Co-Authors: 6 Co-Authors with 5 Joint Publications 123 Co-Co-Authors all top 5 Co-Authors 0 single-authored 4 Deelstra, Griselda 2 Ballotta, Laura 1 Bossens, Frédéric 1 Skantzos, Nikos S. 1 Vanduffel, Steven 1 Yao, Jing Serials 2 European Journal of Operational Research 1 Insurance Mathematics & Economics 1 International Journal of Theoretical and Applied Finance 1 ASTIN Bulletin Fields 5 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Probability theory and stochastic processes (60-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 5 Publications have been cited 20 times in 20 Documents Cited by ▼ Year ▼ Pricing variable annuity guarantees in a local volatility framework. Zbl 1290.91158Deelstra, Griselda; Rayée, Grégory 8 2013 Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory 6 2017 Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Zbl 1290.91159Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; Yao, Jing 3 2014 Vanna-Volga methods applied to FX derivatives: from theory to market practice. Zbl 1203.91283Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; Deelstra, Griselda 2 2010 Smiles & smirks: volatility and leverage by jumps. Zbl 07478874Ballotta, Laura; Rayée, Grégory 1 2022 Smiles & smirks: volatility and leverage by jumps. Zbl 07478874Ballotta, Laura; Rayée, Grégory 1 2022 Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory 6 2017 Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Zbl 1290.91159Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; Yao, Jing 3 2014 Pricing variable annuity guarantees in a local volatility framework. Zbl 1290.91158Deelstra, Griselda; Rayée, Grégory 8 2013 Vanna-Volga methods applied to FX derivatives: from theory to market practice. Zbl 1203.91283Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; Deelstra, Griselda 2 2010 all cited Publications top 5 cited Publications all top 5 Cited by 42 Authors 5 Ballotta, Laura 3 Deelstra, Griselda 2 Eberlein, Ernst W. 2 Hieber, Peter 2 Rayée, Grégory 2 Schmidt, Thorsten 2 Yao, Jing 2 Zeineddine, Raghid 1 Azzone, Michele 1 Baviera, Roberto 1 Bernard, Carole L. 1 Bianchi, Michele Leonardo 1 Branger, Nicole 1 Cui, Zhenyu 1 Delong, Łukasz 1 Devolder, Pierre 1 Dhaene, Jan 1 Escobar, Marcos 1 Fusai, Gianluca 1 Gan, Guojun 1 Gnameho, Kossi 1 Grasselli, Martino 1 Gschnaidtner, Christoph 1 Guan, Guohui 1 Käck, Andreas 1 Kang, Boda 1 Li, Zihao 1 Liang, Zongxia 1 Lin, X. Sheldon 1 Luo, Ji 1 Marazzina, Daniele 1 Mück, Matthias 1 Seeger, Norman J. 1 Seifried, Frank Thomas 1 Shen, Yang 1 Tassinari, Gian Luca 1 Van Weverberg, Christopher 1 Vanduffel, Steven 1 Weisheit, Stefan 1 Zhou, Ming 1 Zhu, Dan 1 Ziveyi, Jonathan all top 5 Cited in 8 Serials 8 Insurance Mathematics & Economics 4 European Journal of Operational Research 3 Quantitative Finance 1 Journal of Computational and Applied Mathematics 1 Journal of Economic Dynamics & Control 1 ASTIN Bulletin 1 North American Actuarial Journal 1 Review of Derivatives Research Cited in 5 Fields 20 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 Probability theory and stochastic processes (60-XX) 3 Statistics (62-XX) 1 Operations research, mathematical programming (90-XX) 1 Systems theory; control (93-XX) Citations by Year