Items where Author is "Rayée, G."
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Article
Ballotta, L. 
ORCID: 0000-0002-2059-6281, Eberlein, E. & Rayée, G. (2025).
The term structure of implied correlations between S&P and VIX markets.
Frontiers of Mathematical Finance, 5,
pp. 73-93.
doi: 10.3934/fmf.2025005
Ballotta, L., Deelstra, G. & Rayée, G. (2017). Multivariate FX models with jumps: triangles, Quantos and implied correlation. European Journal of Operational Research, 260(3), pp. 1181-1199. doi: 10.1016/j.ejor.2017.02.018
Working Paper
Ballotta, L., Deelstra, G. & Rayée, G. (2015). Quanto Implied Correlation in a Multi-Lévy Framework. London: SSRN.