55 citations · 73 across the 8 of their papers we have counts for
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math.ST2014★ 5 cited
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…
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…