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Hedging issues for CDOs

Cousin, Areski; Laurent, Jean-Paul - In: The definitive guide to CDOs : market, application, …, (pp. 461-480). 2008

Persistent link: https://www.econbiz.de/10003918855

Paris-Princeton lectures on mathematical finance ; 4.2010

Cousin, Areski (contributor); Carmona, René (contributor) - 2011

Persistent link: https://www.econbiz.de/10009349792

Hedging CDO tranches in a Markovian environment

Cousin, Areski; Jeanblanc, Monique; Laurent, Jean-Paul - In: Paris Princeton lectures on mathematical finance 4 (2010), pp. 1-61

Persistent link: https://www.econbiz.de/10009356720

A bottom-up dynamic model of portfolio credit risk : part II ; common-shock interpretation, calibration and hedging issues

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 51-73). 2014

Persistent link: https://www.econbiz.de/10010359906

A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 25-49). 2014

Persistent link: https://www.econbiz.de/10010359909

An overview of factor modeling for CDO pricing

Laurent, Jean-Paul; Cousin, Areski - In: Frontiers in quantitative finance : volatility and …, (pp. 185-216). 2009

Persistent link: https://www.econbiz.de/10003787603

Asset allocation strategies in the presence of liability constraints

Cousin, Areski; Jiao, Ying; Robert, Christian Yann; … - In: Insurance / Mathematics & economics 70 (2016), pp. 327-338

Persistent link: https://www.econbiz.de/10011597318

Kriging of financial term-structures

Cousin, Areski; Maatouk, Hassan; Rullière, Didier - In: European journal of operational research : EJOR 255 (2016) 2, pp. 631-648

Persistent link: https://www.econbiz.de/10011532216

Multiple time series forecasting using quasi-randomized functional link neural networks

Moudiki, Thierry; Planchet, Frédéric; Cousin, Areski - In: Risks : open access journal 6 (2018) 1, pp. 1-20

We are interested in obtaining forecasts for multiple time series, by taking into account the potential nonlinear relationships between their observations. For this purpose, we use a specific type of regression model on an augmented dataset of lagged time series. Our model is inspired by dynamic...

Persistent link: https://www.econbiz.de/10011811615

Delta-hedging correlation risk?

Cousin, Areski; Crépey, Stéphane; Kan, Yu Hang - In: Review of derivatives research 15 (2012) 1, pp. 25-56

Persistent link: https://www.econbiz.de/10009627434