4 citations · 7 across the 4 of their papers we have counts for
4 papers
Analytical scores for stress scenarios
Pierre Cohort, Jacopo Corbetta, Ismail Laachir
In this work, inspired by the Archer-Mouy-Selmi approach, we present two methodologies for scoring the stress test scenarios used by CCPs for sizing their Default Funds. These meth…
Robust calibration and arbitrage-free interpolation of SSVI slices
Pierre Cohort, Jacopo Corbetta, Claude Martini +1
We describe a robust calibration algorithm of a set of SSVI slices (i.e. a set of 3 SSVI parameters attached to each option maturity available on the market), which grant…
BSDEs, c{à}dl{à}g martingale problems and orthogonalisation under basis risk
Ismail Laachir, Francesco Russo
The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{à}dl{à}g marting…
Change of numeraire in the two-marginals martingale transport problem
Luciano Campi, Ismail Laachir, Claude Martini
In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we con…