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Martingalized historical approach for option pricing
Chorro, C.; Guégan, Dominique; Ielpo, F. - In: Finance research letters 7 (2010) 1, pp. 24-28
Persistent link: https://www.econbiz.de/10003972384
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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market
Guégan, Dominique; Zang, Jing - In: The European journal of finance 15 (2009) 7/8, pp. 777-795
Persistent link: https://www.econbiz.de/10003924432
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Flexible time series models for subjective distribution estimation with monetary policy in view
Guégan, Dominique; Ielpo, Florian - In: Brussels economic review 51 (2008) 1, pp. 79-103
Persistent link: https://www.econbiz.de/10003983487
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A modified Panjer algorithm for operational risk capital calculations
Guégan, Dominique; Hassani, Bertrand K. - In: The journal of operational risk 4 (2009/10) 4, pp. 53-72
Persistent link: https://www.econbiz.de/10003930046
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Understanding the importance of the duration and size of the variations of Fed's target rate
Ielpo, Florian; Guégan, Dominique - In: The Icfai university journal of monetary economics 7 (2009) 3/4, pp. 44-72
Persistent link: https://www.econbiz.de/10003932180
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GDP nowcasting with ragged-edge data : a semi-parametric modeling
Ferrara, Laurent; Guégan, Dominique; Rakotomarolahy, … - In: Journal of forecasting 29 (2010) 1/2, pp. 186-199
Persistent link: https://www.econbiz.de/10003951835
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Using a time series approach to correct serial correlation in operational risk capital calculation
Guégan, Dominique; Hassani, Bertrand K. - In: The journal of operational risk 8 (2013) 3, pp. 31-56
Persistent link: https://www.econbiz.de/10010248377
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Operational risk : a Basel II + + step before Basel III
Guégan, Dominique; Hassani, Bertrand K. - In: Journal of risk management in financial institutions 6 (2012/13) 1, pp. 37-53
Persistent link: https://www.econbiz.de/10009722605
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Risk assessment for a structured product specific to the CO2 emission permits market
Frunza, Marius-Christian; Guégan, Dominique - In: The journal of alternative investments 15 (2012/13) 3, pp. 72-91
Persistent link: https://www.econbiz.de/10009715857
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On the necessity of five risk measures
Guégan, Dominique; Tarrant, Wayne - In: Annals of finance 8 (2012) 4, pp. 533-552
Persistent link: https://www.econbiz.de/10009670961