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Theory and calibration of swap market models
Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; … - 2004
Persistent link: https://www.econbiz.de/10002078198
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Some statistical pitfalls in copula modeling for financial applications
Fermanian, Jean-David; Scaillet, Olivier - 2004
Persistent link: https://www.econbiz.de/10002078333
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Weak convergence of hedging strategies of contingent claims
Prigent, Jean-Luc; Scaillet, Olivier - 2002
Persistent link: https://www.econbiz.de/10001655789
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A fast subsampling method for nonlinear dynamic models
Hong, Han; Scaillet, Olivier; Tamer, Elie T. - 2001 - This version: Nov. 2001 (1.version: Oct. 2001)
Persistent link: https://www.econbiz.de/10001626135
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Local multiplicative bias correction for asymmetric kernel density estimators
Hagmann, Matthias; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001825715
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A simple calibration procedure of stochastic volatility models with jumps by short term asymptotics
Medvedev, Alexey; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001825737
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Mortality risk and real optimal asset allocation for pension funds
Menoncin, Francesco; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001974801
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Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases
Battocchio, Paolo; Menoncin, Francesco; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001741680
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Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001807607
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On the way to recovery : a nonparametric bias free estimation of recovery rate densities
Renault, Olivier; Scaillet, Olivier - 2003
Persistent link: https://www.econbiz.de/10001764671