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Articles

• Closed form valuation of barrier options with stochastic barriers Guillaume Tristan, Annals of operations research, forthcoming , 2021
• On the telegrapher’s equation with three space variables in non-rectangular coordinates Guillaume Tristan, Journal of Applied Mathematics and Physics, 8 (5) , p 910-926 , 2020
• On the multidimensional Black-Scholes partial differential equation Guillaume Tristan, Annals of operations research, 281 (1-2) , p 229-251 , 2018
• On the first exit time of geometric Brownian motion from stochastic exponential boundaries Guillaume Tristan, International Journal of Applied and Computational Mathematics, 4 , p 120 , 2018
• Computation of the quadrivariate and pentavariate normal cumulative distribution functions Guillaume Tristan, Communications in Statistics – Simulation and Computation, 47 ((3)), p. 839-851 , 2018
• 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
• Analytical Valuation of Autocallable Notes Guillaume Tristan, International Journal of Financial Engineering, 2 (2), p.1-23, 2015
• 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
• 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

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