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person:"Gouriéroux, Christian"
~person:"Aghion, Philippe"
~person:"Brigo, Damiano"
~subject:"Derivat"
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Gouriéroux, Christian
Aghion, Philippe
Brigo, Damiano
Broll, Udo
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Econometric specification of the risk neutral valuation model
Clément, Emmanuelle
;
Gouriéroux, Christian
;
Monfort, Alain
-
1997
Persistent link: https://www.econbiz.de/10000975624
Saved in:
2
Econometric specification of the risk neutral valuation model
Clément, Emmanuelle
;
Gouriéroux, Christian
;
Monfort, Alain
-
1997
Persistent link: https://www.econbiz.de/10000976110
Saved in:
3
The tradability premium on the S&P 500 Index
Gouriéroux, Christian
;
Jasiak, Joann
;
Xu, Peng
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 461-495
Persistent link: https://www.econbiz.de/10011623634
Saved in:
4
Efficiency in large dynamic panel models with common factors
Gagliardini, Patrick
;
Gouriéroux, Christian
- In:
Econometric theory
30
(
2014
)
5
,
pp. 961-1020
Persistent link: https://www.econbiz.de/10010502133
Saved in:
5
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Bormetti, Giacomo
;
Brigo, Damiano
;
Francischello, Marco
; …
- In:
Quantitative finance
18
(
2018
)
1
,
pp. 31-44
Persistent link: https://www.econbiz.de/10011905822
Saved in:
6
A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano
;
Buescu, Cristin
;
Pallavicini, Andrea
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10011403214
Saved in:
7
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
Saved in:
8
Efficient derivative pricing by extended method of moments
Gagliardini, Patrick
;
Gouriéroux, Christian
;
Renault, Eric
-
2005
Persistent link: https://www.econbiz.de/10002771895
Saved in:
9
Interest rate models -
theory
and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano
;
Mercurio, Fabio
-
2006
-
2. ed.
Persistent link: https://www.econbiz.de/10002116360
Saved in:
10
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Brigo, Damiano
;
Alfonsi, Aurélien
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 29-42
Persistent link: https://www.econbiz.de/10002497060
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