| 1. | Le problème de la calibration dans les modèles financiers : Etude à partir d'un article de R. Cont et P. Tankov (Calibration problem in financial models)
Publishing author: MOMEYA Ouabo Romuald Hervé
Co-author(s):
Master's thesis (2005 - Université de Yaoundé I) - French
Online since 2006.10.28 at 12:35:22 - 125 download(s) - 0
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Abstract (Abstract in English) | Download (pdf - 510 Ko) - Zip version (0 Ko) |
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| 2. | Accelerating the Calibration of Stochastic Volatility Models
Publishing author: KILIN Fiodar
Co-author(s):
Working paper (2007 - Frankfurt School of Finance and Management) - English
Online since 2007.08.25 at 19:35:39 - 56 download(s) - 0
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Abstract | Download (pdf - 178 Ko) - Zip version (155 Ko) |
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| 3. | Joint Calibration of Option Pricing Models via Particle Methods
Publishing author: ROLAND Sébastien
Co-author(s): AMZAL Billy / EBGUY Yonathan
Working paper (2004 - Université d'Evry & Essec Business School) - English
Online since 2005.08.24 at 16:46:07 - 78 download(s) - 2
rating(s) - Average rating (/5): 5
Abstract | Download (pdf - 451 Ko) - Zip version (421 Ko) |
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| 4. | Model Calibration in the Monte-Carlo Framework
Publishing author: DOUADY Raphael
Co-author(s):
Journal article (1999 - Risk book (Dupire ed.)) - English
Online since 2003.01.13 at 09:34:58 - 460 download(s) - 1
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 363 Ko) - Zip version (218 Ko) |
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| 5. | Monte-Carlo Path Weighing
Publishing author: DOUADY Raphael
Co-author(s):
Working paper (1999 - CIBC and Ecole Normale Superieure of Cachan) - English
Online since 2003.01.13 at 09:45:08 - 298 download(s) - 1
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 176 Ko) - Zip version (97 Ko) |
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| 6. | Etude de la Cohérence des Ratings de Banques avec la Probabilité de Défaillance Bancaire dans les Pays Emergents (Study of the Coherence of the Ratings of Banks with the Probability of Failure Banking in the Emergent Countries)
Publishing author: GODLEWSKI Christophe J.
Co-author(s):
Working paper (2004 - Laboratoire de Recherche en Gestion et Economie LaRGE) - French
Online since 2004.11.22 at 15:15:11 - 188 download(s) - 3
rating(s) - Average rating (/5): 3
Abstract (Abstract in English) | Download (pdf - 317 Ko) - Zip version (243 Ko) |
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| 7. | An extension of the Jarrow-Lando-Turnbull model to random recovery rate
Publishing author: MILLOSSOVICH Pietro
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Working paper (2002 - Dipartimento di Matematica Applicata, Università di Trieste) - English
Online since 2003.02.04 at 16:02:22 - 70 download(s) - 0
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Abstract | Download (pdf - 239 Ko) - Zip version (210 Ko) |
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| 8. | Default Boundary Problem
Publishing author: KREININ Alexander
Co-author(s): ISCOE Ian
Working paper (2001 - Algorithmics Inc.) - English
Online since 2006.03.14 at 17:56:43 - 44 download(s) - 0
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Abstract | Download (pdf - 180 Ko) - Zip version (150 Ko) |
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