82 citations · 326 across the 13 of their papers we have counts for
16 papers
Unbiased Monte Carlo Simulation of Diffusion Processes
Louis Paulot
Monte Carlo simulations of diffusion processes often introduce bias in the final result, due to time discretization. Using an auxiliary Poisson process, it is possible to run simul…
Parallel American Monte Carlo
Calypso Herrera, Louis Paulot
In this paper we introduce a new algorithm for American Monte Carlo that can be used either for American-style options, callable structured products or for computing counterparty c…
Arbitrage-Free Pricing Before and Beyond Probabilities
Louis Paulot
"Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simp…
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…
Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
Louis Paulot
We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied…
One-Dimensional Pricing of CPPI
Louis Paulot, Xavier Lacroze
Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give participation in the performance of a risky asset while protecting the invested capital. T…