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On the Way to Recovery: A Nonp...
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Scaillet, Olivier
22
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6
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2
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2
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2
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2
Menoncin, Francesco
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Journal of econometrics
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2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Finance : revue de l'Association Française de Finance
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On the way to recovery: A nonparametric bias free estimation of recovery rate densities
Renault, Olivier
;
Scaillet, Olivier
- In:
Journal of banking & finance
28
(
2004
)
12
,
pp. 2915-2932
Persistent link: https://www.econbiz.de/10005882384
Saved in:
2
Option pricing with discrete rebalancing
Prigent, Jean-Luc
;
Renault, Olivier
;
Scaillet, Olivier
- In:
Journal of empirical finance
11
(
2004
)
1
,
pp. 133
Persistent link: https://www.econbiz.de/10007231009
Saved in:
3
Lookback and barrier options : a comparison between black-scholes and ABC pricing
Prigent, Jean-Luc
;
Renault, Olivier
;
scaillet, Olivier
- In:
Finance : revue de l'Association Française de Finance
20
(
1999
)
2
,
pp. 143-152
Persistent link: https://www.econbiz.de/10009918842
Saved in:
4
MÉTIERS & FONCTIONS - RISQUE ET PRUDENTIEL - Modèles de portefeuille de crédit : un succès en demi-teinte ?
Servigny, Arnaud de
;
Renault, Olivier
- In:
Banque : revue mensuelle du banquier, de son personnel …
(
2003
)
653
,
pp. 48-49
Persistent link: https://www.econbiz.de/10006432031
Saved in:
5
Liquidity and Credit Risk
Ericsson, Jan
;
Renault, Olivier
- In:
The journal of finance : the journal of the American …
61
(
2006
)
5
,
pp. 2219-2250
Persistent link: https://www.econbiz.de/10007293147
Saved in:
6
Default correlation: Correlation evidence - Like ratings, default correlation is an area of fierce industry debate. But any fundamental, long-term investor searching for fair value in credit correlation will want to understand what the historical data actually says. Here, the authors address this need.-
Servigny, Arnaud de
;
Renault, Olivier
- In:
Risk : managing risk in the world's financial markets
16
(
2003
)
7
,
pp. 90-94
Persistent link: https://www.econbiz.de/10007031173
Saved in:
7
Instrumental Models and Indirect Encompassing
Dhaene, Geert
;
Gourieroux, Christian
;
Scaillet, Olivier
- In:
Econometrica : journal of the Econometric Society, an …
66
(
1998
)
3
,
pp. 673-688
Persistent link: https://www.econbiz.de/10006789118
Saved in:
8
Optimal asset management for pension funds
Menoncin, Francesco
;
Scaillet, Olivier
- In:
Managerial finance
32
(
2006
)
4
,
pp. 347-374
Persistent link: https://www.econbiz.de/10006542827
Saved in:
9
Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
Guay, Alain
;
Scaillet, Olivier
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
1
,
pp. 122-132
Persistent link: https://www.econbiz.de/10008215777
Saved in:
10
Path dependent options on yields in the affine term structure modely
Leblanc, Boris
;
Scaillet, Olivier
- In:
Finance and stochastics
2
(
1998
)
4
,
pp. 349-368
Persistent link: https://www.econbiz.de/10008218799
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