3 papers
q-fin.RM2026
Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
Mohamed Ben Alaya, Ahmed Kebaier, Djibril Sarr
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within…
q-fin.MF2024
Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
Mohamed Ben Alaya, Ahmed Kebaier, Djibril Sarr
This research presents a comprehensive framework for transitioning financial diffusion models from the risk-neutral (RN) measure to the real-world (RW) measure, leveraging results…
cs.DB2024
Towards Explainable Automated Data Quality Enhancement without Domain Knowledge
Djibril Sarr
In the era of big data, ensuring the quality of datasets has become increasingly crucial across various domains. We propose a comprehensive framework designed to automatically asse…