1 citations · 1 across the 4 of their papers we have counts for
5 papers
Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient
Hervé Andres, Pierre-Edouard Arrouy, Paul Bonnefoy +2
We propose to take advantage of the common knowledge of the characteristic function of the swap rate process as modelled in the LIBOR Market Model with Stochastic Volatility and Di…
Nonparametric adaptive inference of birth and death models in a large population limit
Alexandre Boumezoued, Marc Hoffmann, Paulien Jeunesse
Motivated by improving mortality tables from human demography databases, we investigate statistical inference of a stochastic age-evolving density of a population alimented by time…
Mortality data reliability in an internal model
Fabrice Balland, Alexandre Boumezoued, Laurent Devineau +2
In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned wit…
Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion
Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy +1
This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusi…
Population viewpoint on Hawkes processes
Alexandre Boumezoued
This paper focuses on a class of linear Hawkes processes with general immigrants. These are counting processes with shot noise intensity, including self-excited and externally exci…