Jerome Detemple

Names

Identifer

Contact

Affiliations

• Boston University / Questrom School of Business / Department of Finance
  • EDIRC entry
  • location:

Research profile

author of:

• Life-Cycle Finance and the Design of Pension Plans (RePEc:anr:refeco:v:1:y:2009:p:249-286)
  by Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher
• Optimal Exercise for Derivative Securities (RePEc:anr:refeco:v:6:y:2014:p:459-487)
  by Jérôme Detemple
• On American VIX options under the generalized 3/2 and 1/2 models (RePEc:arx:papers:1606.00530)
  by Jerome Detemple & Yerkin Kitapbayev
• American Options with Discontinuous Two-Level Caps (RePEc:arx:papers:1707.06138)
  by Jerome Detemple & Yerkin Kitapbayev
• Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility (RePEc:arx:papers:2211.15573)
  by Jerome Detemple & Scott Robertson
• Asset Pricing in a Production Economy with Incomplete Information (RePEc:bla:jfinan:v:41:y:1986:i:2:p:383-91)
  by Detemple, Jerome B
• Unknown item RePEc:bla:jfinan:v:43:y:1988:i:1:p:143-53 (article)
• A Monte Carlo Method for Optimal Portfolios (RePEc:bla:jfinan:v:58:y:2003:i:1:p:401-446)
  by Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher
• Closed‐Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints (RePEc:bla:mathfi:v:15:y:2005:i:4:p:539-568)
  by Jér^me Detemple & Marcel Rindisbacher
• Optimal Consumption‐Portfolio Policies With Habit Formation1 (RePEc:bla:mathfi:v:2:y:1992:i:4:p:251-274)
  by Jerome B. Detemple & Fernando Zapatero
• On American VIX options under the generalized 3/2 and 1/2 models (RePEc:bla:mathfi:v:28:y:2018:i:2:p:550-581)
  by Jérôme Detemple & Yerkin Kitapbayev
• The Valuation of American Options on Multiple Assets (RePEc:bla:mathfi:v:7:y:1997:i:3:p:241-286)
  by Mark Broadie & Jérôme Detemple
• Asset Pricing with Regime-Dependent Preferences and Learning (RePEc:chf:rpseri:rp1344)
  by Tony Berrada & Jerome Detemple & Marcel Rindisbacher
• Volatility during the COVID-19 Pandemic (RePEc:chf:rpseri:rp2395)
  by Tony Berrada & Jerome Detemple & Marcel Rindisbacher
• A Monte-Carlo Method for Optimal Portfolios (RePEc:cir:cirwor:2000s-05)
  by Jérôme Detemple & René Garcia & Marcel Rindisbacher
• Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes (RePEc:cir:cirwor:2003s-11)
  by Jérôme Detemple & René Garcia & Marcel Rindisbacher
• American Capped Call Options on Dividend Paying Assets (RePEc:cir:cirwor:94s-01)
  by Mark Broadie & Jérôme Detemple
• American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (RePEc:cir:cirwor:94s-07)
  by Mark Broadie & Jérôme Detemple
• The Valuation of American Options on Multiple Assets (RePEc:cir:cirwor:94s-08)
  by Mark Broadie & Jérôme Detemple
• Asset and Commodity Prices with Multiattribute Durable Goods (RePEc:cir:cirwor:95s-47)
  by Jérôme Detemple & Christos I. Giannikos
• American Options on Dividend-Paying Assets (RePEc:cir:cirwor:96s-16)
  by Mark Broadie & Jérôme Detemple
• Recent Advances in Numerical Methods for Pricing Derivative Securities (RePEc:cir:cirwor:96s-17)
  by Mark Broadie & Jérôme Detemple
• Nonparametric Estimation of American Options Exercise Boundaries and Call Prices (RePEc:cir:cirwor:96s-24)
  by Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès
• American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation (RePEc:cir:cirwor:96s-26)
  by Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès
• Aggregation, Efficiency and Mutual Fund Separation in Incomplete Markets (RePEc:cir:cirwor:97s-11)
  by Jérôme Detemple & Piero Gottardi
• Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints (RePEc:cir:cirwor:97s-12)
  by Jérôme Detemple & Shashidhar Murthy
• Dynamic Equilibrium with Liquidity Constraints (RePEc:cir:cirwor:98s-41)
  by Jérôme Detemple & Angel Serrat
• Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach (RePEc:cir:cirwor:99s-08)
  by Jérôme Detemple & Suresh Sundaresan
• The Valuation of Volatility Options (RePEc:cir:cirwor:99s-43)
  by Jérôme Detemple & Carlton Osakwe
• American Options: Symmetry Properties (RePEc:cir:cirwor:99s-45)
  by Jérôme Detemple
• The relevance of financial policy (RePEc:cor:louvco:1990011)
  by Detemple, J. & Gottardi, P. & Polemarchakis, H.
• The relevance of financial policy (RePEc:cor:louvrp:1157)
  by Detemple, J. & Gottardi, P. & Polemarchakis, H.M.
• Asset Prices in an Exchange Economy with Habit Formation (RePEc:ecm:emetrp:v:59:y:1991:i:6:p:1633-57)
  by Detemple, Jerome B & Zapatero, Fernando
• Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes (RePEc:ecm:nawm04:483)
  by Marcel Rindisbacher & Jérôme Detemple & René Garcia
• Monte Carlo methods for derivatives of options with discontinuous payoffs (RePEc:eee:csdana:v:51:y:2007:i:7:p:3393-3417)
  by Detemple, Jerome & Rindisbacher, Marcel
• Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation (RePEc:eee:dyncon:v:141:y:2022:i:c:s0165188922000793)
  by Detemple, Jerome & Rindisbacher, Marcel & Robertson, Scott
• Further results on asset pricing with incomplete information (RePEc:eee:dyncon:v:15:y:1991:i:3:p:425-453)
  by Detemple, Jerome B.
• Asset and commodity prices with multi-attribute durable goods (RePEc:eee:dyncon:v:20:y:1996:i:8:p:1451-1504)
  by Detemple, Jerome B. & Giannikos, Christos I.
• Nonparametric estimation of American options' exercise boundaries and call prices (RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1829-1857)
  by Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier
• Optimal consumption-portfolio choices and retirement planning (RePEc:eee:dyncon:v:28:y:2004:i:6:p:1115-1148)
  by Bodie, Zvi & Detemple, Jerome B. & Otruba, Susanne & Walter, Stephan
• American chooser options (RePEc:eee:dyncon:v:33:y:2009:i:1:p:128-153)
  by Detemple, Jérôme & Emmerling, Thomas
• Asymptotic properties of Monte Carlo estimators of diffusion processes (RePEc:eee:econom:v:134:y:2006:i:1:p:1-68)
  by Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel
• American options with stochastic dividends and volatility: A nonparametric investigation (RePEc:eee:econom:v:94:y:2000:i:1-2:p:53-92)
  by Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier
• The relevance of financial policy (RePEc:eee:eecrev:v:39:y:1995:i:6:p:1133-1154)
  by Detemple, J. & Gottardi, P. & Polemarchakis, H. M.
• American step options (RePEc:eee:ejores:v:282:y:2020:i:1:p:363-385)
  by Detemple, Jérôme & Laminou Abdou, Souleymane & Moraux, Franck
• Optimal technology adoption for power generation (RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002493)
  by Detemple, Jerome & Kitapbayev, Yerkin
• Renewable energy investment under stochastic interest rate with regime-switching volatility (RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004420)
  by Detemple, Jérôme & Kitapbayev, Yerkin & Reppen, A. Max
• The value of green energy under regulation uncertainty (RePEc:eee:eneeco:v:89:y:2020:i:c:s014098832030147x)
  by Detemple, Jerome & Kitapbayev, Yerkin
• Dynamic asset liability management with tolerance for limited shortfalls (RePEc:eee:insuma:v:43:y:2008:i:3:p:281-294)
  by Detemple, Jérôme & Rindisbacher, Marcel
• Option listing and stock returns : An empirical analysis (RePEc:eee:jbfina:v:14:y:1990:i:4:p:781-801)
  by Detemple, Jerome & Jorion, Philippe
• Intertemporal asset allocation: A comparison of methods (RePEc:eee:jbfina:v:29:y:2005:i:11:p:2821-2848)
  by Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel
• Non-addictive habits: optimal consumption-portfolio policies (RePEc:eee:jetheo:v:113:y:2003:i:2:p:265-285)
  by Detemple, Jerome B. & Karatzas, Ioannis
• Intertemporal Asset Pricing with Heterogeneous Beliefs (RePEc:eee:jetheo:v:62:y:1994:i:2:p:294-320)
  by Detemple Jerome & Murthy Shashidhar
• Asset pricing with beliefs-dependent risk aversion and learning (RePEc:eee:jfinec:v:128:y:2018:i:3:p:504-534)
  by Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel
• Asset pricing in an intertemporal partially-revealing rational expectations equilibrium (RePEc:eee:mateco:v:38:y:2002:i:1-2:p:219-248)
  by Detemple, Jerome B.
• Bounds and Approximations for American Option Values (RePEc:fth:colubu:93-07)
  by Broadie, M. & Detemple, J.
• American Capped Call Options on Dividend Paying Assets (RePEc:fth:colubu:93-08a)
  by Broadie, M. & Detemple, J.
• Option Listing And Stock Returns (RePEc:fth:colubu:fb-_89-13)
  by Detemple, J.B. & Jorion, P.
• Boud Covenants And The Valuation Of Risk Debt: A New Approach (RePEc:fth:colubu:fb-_90-01)
  by Brennan, M. & Detemple, J. & Kalay, A.
• Optimal Consumption-Portfolio Policies With Habit Formation (RePEc:fth:colubu:fb-_90-02)
  by Detemple, J. & Zapatero, F.
• The Relevance Of Financial Policy (RePEc:fth:colubu:fb-89-11)
  by Detemple, J. & Gottardi, P. & Polemarchakis, H.
• Financial Innovation, Values And Volatilities When Markets Are Incomplete (RePEc:fth:colubu:fb-89-12)
  by Detemple, J.B.
• Optimal Power Investment and Pandemics: A Micro-Economic Analysis (RePEc:gam:jeners:v:14:y:2021:i:4:p:814-:d:492944)
  by Jerome Detemple & Yerkin Kitapbayev
• Optimal Investment under Cost Uncertainty (RePEc:gam:jrisks:v:6:y:2018:i:1:p:5-:d:128119)
  by Jerome Detemple & Yerkin Kitapbayev
• American Step Options (RePEc:hal:journl:halshs-02283374)
  by Jerôme Detemple & Souleymane Laminou Abdou & Franck Moraux
• Generalized optimal stopping problems and financial markets, by Dennis Wong (RePEc:hin:jnijsa:372469)
  by Jérôme Detemple
• A General Equilibrium Analysis of Option and Stock Market Interactions (RePEc:ier:iecrev:v:32:y:1991:i:2:p:279-303)
  by Detemple, Jerome B & Selden, Larry
• The Valuation of American Options for a Class of Diffusion Processes (RePEc:inm:ormnsc:v:48:y:2002:i:7:p:917-937)
  by Jérôme Detemple & Weidong Tian
• ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (RePEc:inm:ormnsc:v:50:y:2004:i:9:p:1145-1177)
  by Mark Broadie & Jerome B. Detemple
• Asymptotic Properties of Monte Carlo Estimators of Derivatives (RePEc:inm:ormnsc:v:51:y:2005:i:11:p:1657-1675)
  by Jérôme Detemple & René Garcia & Marcel Rindisbacher
• Book Reviews (RePEc:kap:jeczfn:v:75:y:2002:i:2:d:10.1007_s007120200014)
  by J. B. Detemple
• The Valuation of Volatility Options (RePEc:oup:revfin:v:4:y:2000:i:1:p:21-50.)
  by Jérôme Detemple & Carlton Osakwe
• Equilibrium Asset Prices and No-Arbitrage with Portfolio Constraints (RePEc:oup:rfinst:v:10:y:1997:i:4:p:1133-74)
  by Detemple, Jerome & Murthy, Shashidhar
• Nontraded Asset Valuation with Portfolio Constraints: A Binomial Approach (RePEc:oup:rfinst:v:12:y:1999:i:4:p:835-72)
  by Detemple, Jerome & Sundaresan, Suresh
• Dynamic Equilibrium with Liquidity Constraints (RePEc:oup:rfinst:v:16:y:2003:i:2:p:597-629)
  by Jérôme Detemple & Angel Serrat
• Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications (RePEc:oup:rfinst:v:23:y:2010:i:1:p:25-100)
  by Jérome Detemple & Marcel Rindisbacher
• A Structural Model of Dynamic Market Timing (RePEc:oup:rfinst:v:26:y:2013:i:10:p:2492-2547)
  by Jérome Detemple & Marcel Rindisbacher
• The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage (RePEc:oup:rfinst:v:33:y:2020:i:7:p:3307-3347.)
  by Jerome Detemple & Yerkin Kitapbayev & Philip Strahan
• American Capped Call Options on Dividend-Paying Assets (RePEc:oup:rfinst:v:8:y:1995:i:1:p:161-91)
  by Broadie, Mark & Detemple, Jerome
• American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (RePEc:oup:rfinst:v:9:y:1996:i:4:p:1211-50)
  by Broadie, Mark & Detemple, Jerome
• Financial Innovation, Values and Volatilities when Markets Are Incomplete* (RePEc:pal:genrir:v:15:y:1990:i:1:p:47-53)
  by Jerome B. Detemple
• Acquisition d’information dans un modèle intertemporel en temps continu (RePEc:ris:actuec:v:63:y:1987:i:2:p:118-137)
  by Detemple, Jérôme B. & Kihlstrom, Richard E.
• Demande de portefeuille et politique de couverture de risque sous information incomplète (RePEc:ris:actuec:v:69:y:1993:i:1:p:45-70)
  by Detemple, Jérôme
• Wealth-Robust Intertemporal Incentive Contracts (RePEc:sce:scecf5:171)
  by Mark Loewenstein & Jerome Detemple & Suresh Govindaraj
• An optimal stopping problem with a reward constraint (RePEc:spr:finsto:v:16:y:2012:i:3:p:423-448)
  by Jérôme Detemple & Weidong Tian & Jie Xiong
• Representation formulas for Malliavin derivatives of diffusion processes (RePEc:spr:finsto:v:9:y:2005:i:3:p:349-367)
  by Jérôme Detemple & René Garcia & Marcel Rindisbacher
• Aggregation, efficiency and mutual fund separation in incomplete markets (RePEc:spr:joecth:v:11:y:1998:i:2:p:443-455)
  by JÊrÆme B. Detemple & Piero Gottardi
• Portfolio Selection: A Review (RePEc:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-012-0208-1)
  by Jérôme Detemple
• Callable barrier reverse convertible securities (RePEc:taf:quantf:v:21:y:2021:i:9:p:1519-1532)
  by Jerome Detemple & Yerkin Kitapbayev
• Dynamic Noisy Rational Expectations Equilibrium With Insider Information (RePEc:wly:emetrp:v:88:y:2020:i:6:p:2697-2737)
  by Jerome Detemple & Marcel Rindisbacher & Scott Robertson
• Hedging with futures in an intertemporal portfolio context (RePEc:wly:jfutmk:v:8:y:1988:i:3:p:249-269)
  by Michael Adler & Jerome Detemple
• Asset Prices and Pandemics: The Effects of Lockdowns (RePEc:wsi:qjfxxx:v:12:y:2022:i:01:n:s201013922240002x)
  by Jerome Detemple