4 citations · 5 across the 4 of their papers we have counts for
10 papers
A Dynamic Model for Credit Index Derivatives
Louis Paulot
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterpart…
Efficient Pricing of CPPI using Markov Operators
Louis Paulot, Xavier Lacroze
Constant Proportion Portfolio Insurance (CPPI) is a strategy designed to give participation in a risky asset while protecting the invested capital. Some gap risk due to extreme eve…
Infinite-Dimensional Gauge Structure of d=2 N=16 Supergravity
Louis Paulot
Dimensional reduction of maximal supergravity to two dimensions leads to an infinite-dimensional (non-local) symmetry group W x E_9 which has a simpler action when the bosonic fiel…
Extended E8 Invariance of 11-Dimensional Supergravity
S. de Buyl, M. Henneaux, L. Paulot
The hyperbolic Kac-Moody algebra E10 has repeatedly been suggested to play a crucial role in the symmetry structure of M-theory. Recently, following the analysis of the asymptotic…
Hidden Symmetries and Dirac Fermions
Sophie de Buyl, Marc Henneaux, Louis Paulot
In this paper, two things are done. First, we analyze the compatibility of Dirac fermions with the hidden duality symmetries which appear in the toroidal compactification of gravit…
Selfduality of d=2 Reduction of Gravity Coupled to a Sigma-Model
Louis Paulot
Dimensional reduction in two dimensions of gravity in higher dimension, or more generally of d=3 gravity coupled to a sigma-model on a symmetric space, is known to possess an infin…