Jerome Detemple
Affiliations: | Mathematics & Statistics CAS/GRS | Boston University, Boston, MA, United States |
Area:
MathematicsGoogle:
"Jerome Detemple"Children
Sign in to add trainee| Christos Giannikos | grad student | 1989-1992 | Boston University (Econometree) |
| Doriana Ruffino | grad student | 2008 | Boston University |
| Pablo Castaneda | grad student | 2009 | Boston University |
| Thomas J. Emmerling | grad student | 2009 | Boston University |
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Publications
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| Detemple J, Abdou SL, Moraux F. (2020) American Step Options European Journal of Operational Research. 282: 363-385 |
| Detemple J, Kitapbayev Y. (2018) American Options with Discontinuous Two-Level Caps Siam Journal On Financial Mathematics. 9: 219-250 |
| Detemple J, Kitapbayev Y. (2018) On American VIX Options under the Generalized 3/2 and 1/2 Models Mathematical Finance. 28: 550-581 |
| Berrada T, Detemple J, Rindisbacher M. (2018) Asset pricing with beliefs-dependent risk aversion and learning Journal of Financial Economics. 128: 504-534 |
| Detemple J. (2014) Optimal exercise for derivative securities Annual Review of Financial Economics. 6: 459-487 |
| Detemple J, Rindisbacher M. (2013) A structural model of dynamic market timing Review of Financial Studies. 26: 2492-2547 |
| Detemple J, Tian W, Xiong J. (2012) An optimal stopping problem with a reward constraint Finance and Stochastics. 16: 423-448 |
| Detemple J, Rindisbacher M. (2010) Dynamic asset allocation: Portfolio decomposition formula and applications Review of Financial Studies. 23: 25-100 |
| Detemple J, Emmerling T. (2009) American chooser options Journal of Economic Dynamics and Control. 33: 128-153 |
| Detemple J, Rindisbacher M. (2008) Dynamic asset liability management with tolerance for limited shortfalls Insurance: Mathematics and Economics. 43: 281-294 |