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Introduction to stochastic calculus applied to finance
Lamberton, Damien; Lapeyre, Bernard - 2008 - 2. ed.
Persistent link: https://www.econbiz.de/10003427489
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A simple GDP-based model for public investments at risk
Lapeyre, Bernard; Quinet, Emile - In: Journal of benefit-cost analysis : JBCA 8 (2017) 1, pp. 91-114
Persistent link: https://www.econbiz.de/10011664593
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Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, … - In: Finance and stochastics 26 (2022) 4, pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
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Pricing Derivatives with Credit Risk : Expansion Formulas for Stochastic Intensity Models
Iben Taarit, Marouan - 2017
We address in this paper new developments in pricing derivatives within a default event. Based on stochastic expansion arguments, the pricing is made under a generic stochastic model for the default intensity. The derivative's price is expressed through a deterministic proxy for the default...
Persistent link: https://www.econbiz.de/10012967875