Jerome Detemple
Morton H. and Charlotte Friedman Professor; Professor of Finance at Boston University
Biography
Boston University
Education
- Doctorat d'Etat, Université Louis Pasteur, Strasbourg, France, 1985
- PhD, University of Pennsylvania, Wharton School, Philadelphia, USA, 1983
- DEA, Université Paris-Dauphine, Paris, 1980
- MA, École Supérieure des Sciences Économiques et Commerciales-ESSEC, France, 1979
Employment
- Morton H. and Charlotte Friedman Professor in Management, QSB, Boston University, 2017-
- Everett W. Lord Distinguished Faculty Scholar, QSB, Boston University, Sept. 2007-Jun. 2017
- Professor of Finance, QSB, Boston University, Boston, September 1999-
- Director of Research, CIRANO, MontrÈal, November 1993-1999. Research Associate: 1999-
- Chaired Professor of Finance, McGill University, Montreal, September 1992-August 1999
- Associate Professor of Finance, Columbia University, New York, July 1987-June 1992
- Assistant Professor of Finance, Columbia University, New York, July 1984-June 1987
- Instructor, Wharton School, University of Pennsylvania, Philadelphia, Jan. 1983-May 1984
Visiting Positions
- Visiting Professor of Finance, UniversitÈ de GenËve, January-March 2012
- Visiting Professor of Finance, UniversitÈ de Lausanne, December 2008 & May 2009
- Visiting Professor of Finance, Sloan School, MIT, Cambridge, Spring 2008
- FINRISK, Visiting Professor of Finance, University of Zurich, May 2004
- FAME Visiting Professor of Finance, UniversitÈ de Lausanne, May-June 2001
- FAME Visiting Professor of Finance, UniversitÈ de Lausanne, May-June 2000
- FAME Visiting Professor of Finance, UniversitÈ de Lausanne, March-June 1999
- Visiting Professor of Mathematical Finance, Boston University, February 1999
- Visiting Scholar, Mathematical Statistics, Columbia University, Sept. 1998-Aug. 1999
- FAME Visiting Professor of Finance, UniversitÈ de Lausanne, May 1998
- Visiting Professor of Finance, Sloan School, MIT, Cambridge, Sept. 1994-Dec. 1995
- University of Aix-Marseille (GREQE) and University of Toulon, May 1992
- The Wharton School, University of Pennsylvania, Philadelphia, January-May 1989
- Visiting Assistant Prof. of Finance, Northwestern, Evanston, Sept. 1987-June 1988
Selected Publications
- Detemple, J., Rindisbacher, M., Robertson, S. (2020). "Dynamic Noisy Rational Expectations Equilibrium with Insider Information", Econometrica, 88 (6), 2697-2737
- Detemple, J., Kitapbayev, Y. (2020). "The Value of Green Energy: Optimal Investment in Mutually Exclusive Projects and Operating Leverage", Review of Financial Studies, 33 (7), 3307-3347
- Berrada, T., Detemple, J., Rindisbacher, M. (2018). "Asset Pricing with Regime Dependent Preferences and Learning", Journal of Financial Economics, 128 (3), 504-534
- Detemple, J., Kitapbayev, Y. (2018). "On American VIX Options under the Generalized 3/2 and 1/2 Models", Mathematical Finance, 28 (2), 550-581
- Detemple, J., Rindisbacher, M. (2013). "A Structural Model of Dynamic Market Timing", Review of Financial Studies, 26 (10), 2492-2547
- Detemple, J., Rindisbacher, M. (2010). "Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications", Review of Financial Studies, 23 (1), 25-100
- Detemple, J. (2005). "American-style Derivatives: Valuation and Computation", Chapman & Hall/CRC
- Detemple, J., Garcia, R., Rindisbacher, M. (2005). "Asymptotic properties of Monte Carlo estimators of derivatives", Management Science, 51 (11), 1657-1675
- Detemple, J., Rindisbacher, M. (2005). "Closed-form solutions for optimal portfolio selection with stochastic interest rate and investment constraints", Mathematical Finance, 15 (4), 539-568
- Broadie, M., Detemple, J. (2004). "Option pricing: Valuation models and applications", Management Science, 50 (9), 1145-1177
- Detemple, J., Karatzas, I. (2003). "Non-addictive habits: optimal consumption-portfolio policies", Journal of Economic Theory, 113 (2), 265-285
- Detemple, J., Feng, S., Tian, W. (2003). "The valuation of American call options on the minimum of two dividend-paying assets", Annals of Applied Probability, 13 (3), 953-983
- Detemple, J., Serrat, A. (2003). "Dynamic equilibrium with liquidity constraints", Review of Financial Studies, 16 (2), 597-629
- Detemple, J., Garcia, R., Rindisbacher, M. (2003). "A Monte Carlo method for optimal portfolios", Journal of Finance, 58 (1), 401-446
- Detemple, J., Tian, W. (2002). "The valuation of American options for a class of diffusion processes", Management Science, 48 (7), 917-937
- Detemple, J., Sundaresan, S. (1999). "Nontraded asset valuation with portfolio constraints: A binomial approach", The Review of Financial Studies, 12 (4), 835-872
- Detemple, J., Murthy, S. (1997). "Equilibrium asset prices and no-arbitrage with portfolio constraints", Review of Financial Studies, 10 (4), 1133-1174
- Broadie, M., Detemple, J. (1997). "The valuation of American options on multiple assets", Mathematical Finance, 7 (3), 241-286
- Broadie, M., Detemple, J. (1996). "American option valuation: New bounds, approximations, and a comparison of existing methods", Review of Financial Studies, 9 (4), 1211-1250
- Broadie, M., Detemple, J. (1995). "American Capped Call Options On Dividend-Paying Assets", Review of Financial Studies, 8 (1), 161-191
- Detemple, J., Murthy, S. (1994). "Intertemporal Asset Pricing With Heterogeneous Beliefs", Journal of Economic Theory, 62 (2), 294-320
- Detemple, J., Zapatero, F. (1992). "Optimal Consumption-Portfolio Policies With Habit Formation", Mathematical Finance, 2 (4), 251-274
- Detemple, J., Zapatero, F. (1991). "Asset Prices In An Exchange Economy With Habit Formation", Econometrica, 59 (6), 1633-1657
- Adler, M., Detemple, J. (1988). "On The Optimal Hedge Of A Nontraded Cash Position", Journal of Finance, 43 (1), 143-153
- Detemple, J. (1986). "Asset Pricing In A Production Economy With Incomplete Information", Journal of Finance, 41 (2), 383-391
Read about executive education
Other experts
Popular Courses
Leading People and Teams
ESMT
Berlin, Germany
Nov 19
Private Equity: Investing and Creating Value
The Wharton School
Philadelphia, Pennsylvania, United States
Feb 2, 2025
The Positive Leader: Deep Change and Organizational Transformation
Stephen M. Ross School of Business
Ann Arbor, Michigan, United States
Sep 29
Looking for an expert?
Contact us and we'll find the best option for you.