55 citations · 73 across the 8 of their papers we have counts for
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q-fin.CP2016★ 55 cited
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-…
q-fin.CP2014
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…