Julien Guyon
Julien Guyon is senior quantitative analyst at Bloomberg in New York
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Articles by Julien Guyon
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities