4 citations · 5 across the 4 of their papers we have counts for
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q-fin.PR2009
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…
q-fin.CP2009
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…