55 citations · 73 across the 8 of their papers we have counts for
9 papers
Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach
Areski Cousin, Jérôme Lelong, Tom Picard
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs. Many methods have been proposed these last years to challenge the famous uni-…
Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints
Marc Chataigner, Areski Cousin, Stéphane Crépey +2
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility…
Rating transitions forecasting: a filtering approach
Areski Cousin, Jérôme Lelong, Tom Picard
Analyzing the effect of business cycle on rating transitions has been a subject of great interest these last fifteen years, particularly due to the increasing pressure coming from…
Adaptive Robust Control Under Model Uncertainty
Tomasz R. Bielecki, Tao Chen, Igor Cialenco +2
In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust cont…
Kriging of financial term-structures
Areski Cousin, Hassan Maatouk, Didier Rullière
Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-…
On the consistency of Sobol indices with respect to stochastic ordering of model parameters
Areski Cousin, Alexandre Janon, Véronique Maume-Deschamps +1
In the past decade, Sobol's variance decomposition have been used as a tool - among others - in risk management. We show some links between global sensitivity analysis and stochast…
On the range of admissible term-structures
Areski Cousin, Ibrahima Niang
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible pr…
On Multivariate Extensions of Value-at-Risk
Areski Cousin, Elena Di Bernadino
In this paper, we introduce two alternative extensions of the classical univariate Value-at-Risk (VaR) in a multivariate setting. The two proposed multivariate VaR are vector-value…
An extension of Davis and Lo's contagion model
Didier Rullière, Diana Dorobantu, Areski Cousin
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of…