Working Papers in Asset Pricing

A. Derivative Pricing

"Weak convergence of hedging strategies of contingent claims" with J.L. Prigent, FAME DP 39 and HEC Genève DP 2002.02. Abstract pdf  ps
"Variance optimal cap pricing models", with J.P. Laurent,  IRES DP 9902 and CREST DP 9907. Abstract pdf  ps

B. Asset Allocation

"Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets", with C. Li and Y. Shen, Swiss Finance Institute DP 2020.22. Abstract pdf
"Mortality risk and real optimal asset allocation for pension funds", with F. Menoncin, HEC Genève DP 2003.23 and FAME DP 101. Abstract pdf  ps