Guillaume Tristan

Maître de conférences UCP
Membre permanent

Contact

Bureau: B135
Mail: tristan.guillaume@u-cergy.fr
Page perso
Tel: +33 1 34 25 60 61

Adresse:
Université de Cergy-Pontoise - THEMA - 33, boulevard du Port
Cergy Pontoise Cedex
France

Specialité

Évaluation d’options, finance mathématique.

Articles

  • Computation of the Quadrivariate and Pentavariate normal cumulative distribution functions Guillaume Tristan, Communications in Statistics – Simulation and Computation, Forthcoming , 2017
  • First exit time from a corridor Guillaume Tristan, International Journal of Applied Mathematics and Statistics, 56 (2), p.64-80, 2017
  • An analytically tractable model for pricing multi-asset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve Guillaume Tristan, Journal of Applied Mathematics, Article ID 8029750 (18 pages), 2016
  • Computation of the survival probability of Brownian motion with drift in a closed time interval when the absorbing boundary is an affine or an exponential function of time Guillaume Tristan, International Journal of Statistics and Probability, 5 (4), p.119-138, 2016
  • Autocallable Structured Products Guillaume Tristan, Journal of derivatives, 22 (3), p.73-95, 2015
  • On the Computation of the Survival Probability of Brownian motion with Drift in a Closed Time Interval when the Absorbing Boundary is a Step Function Guillaume Tristan, Journal of Probability and Statistics, p.1-22, 2015
  • Analytical Valuation of Autocallable Notes Guillaume Tristan, International Journal of Financial Engineering, 2 (2), p.1-23, 2015
  • On the Probability of Hitting a constant or a Time-Dependent Boundary for a Geometric Brownian Motion with Time-Dependent Coefficients Guillaume Tristan, Applied Mathematical Sciences, 8 (20), p.989-1009, 2014
  • A Few Insights into Cliquet Options Guillaume Tristan, International journal of business, 17 (2) , p.163-180, 2012
  • Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering Guillaume Tristan, ISRN Applied Mathematics, p.1-21, 2011
  • Step Double Barrier Options Guillaume Tristan, Journal of derivatives, 18 (1), p.59-80, 2010
  • Making the best of best-of Guillaume Tristan, Review of derivatives research, 11 (1), p.1-39, 2008
  • Window Double Barrier Options Guillaume Tristan, Review of derivatives research, 6 (1), p.47-75, 2003
  • Analytical Valuation of Options on Joint Minima and Maxima Guillaume Tristan, Applied mathematical finance, p.209-235, 2002

Documents de travail

  • Making the Best of Best-of Guillaume Tristan, Mim?o THEMA, 2007
  • Sequential Double Lookbacks Guillaume Tristan, Mim?o THEMA, 2007
  • Discretely Monitored Lookback and Barrier Options : an Analytical Approach Guillaume Tristan, Mim?o THEMA, 2005