1 citations · 1 across the 4 of their papers we have counts for
4 papers
Max-Stable Survival Copulas under Dependent Censoring: Sharp Identification and Efficient Inference
Djibril Gueye, Salima Helali, Modou Wade
We study dependent censoring within a generalized Cox first-hitting-time. framework based on compensator reductions. In the genuinely dependent case, we show that max-stability of…
Dependent Default Modeling through Multivariate Generalized Cox Processes
Djibril Gueye, Alejandra Quintos
We propose a multivariate framework for modeling dependent default times that extends the classical Cox process by incorporating both common and idiosyncratic shocks. Our construct…
Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints
Marc Chataigner, Areski Cousin, Stéphane Crépey +2
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility…
Pricing zero-coupon CAT bonds using the enlargement of ltration theory: a general framework
Zied Chaieb, Djibril Gueye
The main goal of this paper is to use the enlargement of ltration framework for pricing zerocoupon CAT bonds. For this purpose, we develop two models where the trigger event time i…