1

A Monte Carlo Method for Optimal Portfolios

Jérôme B. Detemple, René Garcia, Marcel Rindisbacher
Journal:
The Journal of Finance
Year:
2003
Language:
english
File:
PDF, 651 KB
english, 2003
2

Option Pricing: Valuation Models and Applications

Mark Broadie and Jerome B. Detemple
Journal:
Management Science
Year:
2004
Language:
english
File:
PDF, 1.77 MB
english, 2004
4

Life-Cycle Finance and the Design of Pension Plans

Bodie, Zvi, Detemple, Jérôme, Rindisbacher, Marcel
Journal:
Annual Review of Financial Economics
Year:
2009
Language:
english
File:
PDF, 1.71 MB
english, 2009
6

American Options with Discontinuous Two-Level Caps

Detemple, Jerome, Kitapbayev, Yerkin
Journal:
SIAM Journal on Financial Mathematics
Year:
2018
Language:
english
File:
PDF, 561 KB
english, 2018
7

ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications

Broadie, Mark, Detemple, Jerome B.
Journal:
Management Science
Year:
2004
Language:
english
File:
PDF, 488 KB
english, 2004
8

Intertemporal asset allocation: A comparison of methods

Jérôme Detemple, René Garcia, Marcel Rindisbacher
Journal:
Journal of Banking & Finance
Year:
2005
Language:
english
File:
PDF, 309 KB
english, 2005
10

Optimal Consumption-Portfolio Policies With Habit Formation

Jerome B. Detemple, Fernando Zapatero
Journal:
Mathematical Finance
Year:
1992
Language:
english
File:
PDF, 1.14 MB
english, 1992
12

Option listing and stock returns: An empirical analysis

Jerome Detemple, Philippe Jorion
Journal:
Journal of Banking & Finance
Year:
1990
Language:
english
File:
PDF, 1.26 MB
english, 1990
14

Asymptotic Properties of Monte Carlo Estimators of Derivatives

Detemple, Jérôme, Garcia, René, Rindisbacher, Marcel
Journal:
Management Science
Year:
2005
Language:
english
File:
PDF, 331 KB
english, 2005
15

The Valuation of American Options for a Class of Diffusion Processes

Detemple, Jérôme, Tian, Weidong
Journal:
Management Science
Year:
2002
Language:
english
File:
PDF, 799 KB
english, 2002
17

Optimal Exercise for Derivative Securities

Detemple, Jérôme
Journal:
Annual Review of Financial Economics
Year:
2014
Language:
english
File:
PDF, 1.54 MB
english, 2014
18

American chooser options

Jérôme Detemple, Thomas Emmerling
Journal:
Journal of Economic Dynamics and Control
Year:
2009
Language:
english
File:
PDF, 590 KB
english, 2009
20

Aggregation, efficiency and mutual fund separation in incomplete markets

Jérôme B. Detemple, Piero Gottardi
Journal:
Economic Theory
Year:
1998
Language:
english
File:
PDF, 244 KB
english, 1998
21

Non-addictive habits: optimal consumption-portfolio policies

Jérôme B. Detemple, Ioannis Karatzas
Journal:
Journal of Economic Theory
Year:
2003
Language:
english
File:
PDF, 227 KB
english, 2003
23

Portfolio Selection: A Review

Jérôme Detemple
Journal:
Journal of Optimization Theory and Applications
Year:
2014
Language:
english
File:
PDF, 748 KB
english, 2014
24

A Monte Carlo Method for Optimal Portfolios

Jérôme B. Detemple, René Garcia and Marcel Rindisbacher
Journal:
The Journal of Finance
Year:
2003
Language:
english
File:
PDF, 1.43 MB
english, 2003
25

The Valuation of American Options on Multiple Assets

Mark Broadie, Jérôme Detemple
Journal:
Mathematical Finance
Year:
1997
Language:
english
File:
PDF, 645 KB
english, 1997
26

Hedging with futures in an intertemporal portfolio context

Michael Adler, Jerome Detemple
Journal:
Journal of Futures Markets
Year:
1988
Language:
english
File:
PDF, 1.21 MB
english, 1988
27

The Valuation of American Options for a Class of Diffusion Processes

Jérôme Detemple and Weidong Tian
Journal:
Management Science
Year:
2002
Language:
english
File:
PDF, 974 KB
english, 2002
30

Asset Pricing in a Production Economy with Incomplete Information

Jérôme B. Detemple
Journal:
The Journal of Finance
Year:
1986
Language:
english
File:
PDF, 269 KB
english, 1986
31

A Structural Model of Dynamic Market Timing

Detemple, Jérôme, Rindisbacher, Marcel
Journal:
Review of Financial Studies
Year:
2013
Language:
english
File:
PDF, 1.32 MB
english, 2013
32

Optimal Investment under Cost Uncertainty

Detemple, Jerome, Kitapbayev, Yerkin
Journal:
Risks
Year:
2018
Language:
english
File:
PDF, 583 KB
english, 2018
33

On the Optimal Hedge of a Nontraded Cash Position

Michael Adler and Jérôme B. Detemple
Journal:
The Journal of Finance
Year:
1988
Language:
english
File:
PDF, 360 KB
english, 1988
35

Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets

Jérôme B. Detemple and Piero Gottardi
Journal:
Economic Theory
Year:
1998
Language:
english
File:
PDF, 1.46 MB
english, 1998
39

Asset Prices in an Exchange Economy with Habit Formation

Detemple, Jerome B., Zapatero, Fernando
Journal:
Econometrica
Year:
1991
Language:
english
File:
PDF, 679 KB
english, 1991
41

Financial innovation, values and volatilities when markets are incomplete

Jerome B. Detemple
Journal:
The GENEVA Risk and Insurance Review
Year:
1990
Language:
english
File:
PDF, 378 KB
english, 1990
44

An optimal stopping problem with a reward constraint

Jérôme Detemple, Weidong Tian, Jie Xiong
Journal:
Finance and Stochastics
Year:
2012
Language:
english
File:
PDF, 789 KB
english, 2012
45

A General Equilibrium Analysis of Option and Stock Market Interactions

Jerome Detemple and Larry Selden
Journal:
International Economic Review
Year:
1991
Language:
english
File:
PDF, 614 KB
english, 1991
46

Further results on asset pricing with incomplete information

Jerome B. Detemple
Journal:
Journal of Economic Dynamics and Control
Year:
1991
Language:
english
File:
PDF, 1.99 MB
english, 1991
47

American Options with Discontinuous Two-Level Caps

Detemple, Jerome, Kitapbayev, Yerkin
Journal:
SSRN Electronic Journal
Year:
2017
Language:
english
File:
PDF, 363 KB
english, 2017
49

Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints

Jerome Detemple and Shashidhar Murthy
Journal:
Review of Financial Studies
Year:
1997
Language:
english
File:
PDF, 974 KB
english, 1997