82 citations · 326 across the 13 of their papers we have counts for
4 papers · 1 filter
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…
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…