Hamza Guennoun

Societe Generale

quantitative research-SOCIETE GENERALE

52 Place de l'Ellipse

La Défense, 92000

France

SCHOLARLY PAPERS

5

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SSRN CITATIONS
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Top 45,555

in Total Papers Citations

7

CROSSREF CITATIONS

8

Scholarly Papers (5)

1.

Equity Modeling with Stochastic Dividends

Number of pages: 8 Posted: 02 May 2017
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Natixis - Paris, France
Downloads 601 (54,763)
Citation 2

Abstract:

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stochastic dividends, local stochastic volatility model

2.

Understanding Autocalls: Real Time Vega map

Number of pages: 14 Posted: 03 Jun 2019
Hamza Guennoun
Societe Generale
Downloads 432 (82,947)
Citation 1

Abstract:

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vega, Autocallable, Local Volatility model

3.

Local Volatility Models Enhanced with Jumps

Number of pages: 22 Posted: 31 May 2016
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Natixis - Paris, France
Downloads 338 (108,936)
Citation 2

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Local volatility, jumps, nonlinear McKean, particle method

4.

Asymptotic Behaviour of the Fractional Heston Model

Number of pages: 15 Posted: 30 Nov 2014
Societe Generale, Imperial College London and Imperial College London - Department of Mathematics
Downloads 163 (221,088)
Citation 16

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Fractional Heston model, Asymptotics, Implied Volatility

5.

Completing a Correlation Matrix with Fixed Subcorrelations

Number of pages: 9 Posted: 08 Feb 2018
Hamza Guennoun and Pierre Henry-Labordere
Societe Generale and Natixis - Paris, France
Downloads 160 (224,609)

Abstract:

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