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Romain Deguest, Ph.D.

Affiliations: 
2010 Columbia University, New York, NY 
Area:
Operations Research, Industrial Engineering, Finance
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"Romain Deguest"
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Rama Cont grad student 2010 Columbia
 (Model uncertainty in derivative pricing and risk measurement.)

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Deguest R, Fabozzi F, Martellini L, et al. (2018) Bond Portfolio Optimization in the Presence of Duration Constraints The Journal of Fixed Income. 28: 6-26
Deguest R, Martellini L, Milhau V. (2017) A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems Management Science. 64: 4333-4347
Cont R, Deguest R, He XD. (2013) Loss-Based Risk Measures Statistics and Risk Modeling. 30: 133-167
Cont R, Deguest R. (2013) Equity correlations implied by index options: Estimation and model uncertainty analysis Mathematical Finance. 23: 496-530
Cont R, Deguest R, Scandolo G. (2010) Robustness and Sensitivity Analysis of Risk Measurement Procedures Quantitative Finance. 10: 593-606
Cont R, Deguest R, Kan YH. (2010) Default intensities implied by CDO Spreads: Inversion formula and model calibration Siam Journal On Financial Mathematics. 1: 555-585
Cont R, Deguest R, Scandolo G. (2010) Robustness and sensitivity analysis of risk measurement procedures Quantitative Finance. 10: 593-606
Coquelin PA, Deguest R, Munos R. (2009) Sensitivity analysis in HMMs with application to likelihood maximization Advances in Neural Information Processing Systems 22 - Proceedings of the 2009 Conference. 387-395
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