Nicolas Merener, Ph.D.
Affiliations: | 2002 | Columbia University, New York, NY |
Area:
Mathematics, FinanceGoogle:
"Nicolas Merener"Parents
Sign in to add mentor| Paul Glasserman | grad student | 2002 | Columbia | |
| (Jump -diffusion LIBOR market models: Simulation, derivatives pricing, and estimation.) | ||||
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Publications
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| Merener N, Steglich ME. (2018) Output Value Risk for Commodity Producers: The Uncertain Benefits of Diversification World Development. 101: 322-333 |
| Merener N, Moyano R, Stier-Moses NE, et al. (2016) Optimal trading and shipping of agricultural commodities Journal of the Operational Research Society. 67: 114-126 |
| Merener N. (2016) Concentrated Production and Conditional Heavy Tails in Commodity Returns Journal of Futures Markets. 36: 46-65 |
| Merener N. (2015) Globally Distributed Production and the Pricing of CME Commodity Futures Journal of Futures Markets. 35: 1-30 |
| Merener N, Vicchi L. (2015) An Efficient Monte Carlo Method for Discrete Variance Contracts Journal of Computational Finance. 18: 1-25 |
| Merener N. (2012) Swap rate variance swaps Quantitative Finance. 12: 249-261 |
| Glasserman P, Merener N. (2004) Convergence of a discretization scheme for jump-diffusion processes with state-dependent intensities Proceedings of the Royal Society a: Mathematical, Physical and Engineering Sciences. 460: 111-127 |
| Glasserman P, Merener N. (2003) Cap and Swaption Approximations in Libor Market Models with Jumps Journal of Computational Finance. 7: 1-36 |
| Glasserman P, Merener N. (2003) Numerical solution of jump-diffusion LIBOR market models Finance and Stochastics. 7: 1-27 |
| Mindlin GB, Merener N, Boyd PT. (1998) Low-dimensional dynamics outside the laboratory: The case of roAp stars Europhysics Letters. 42: 31-36 |