Dominic O'Kane

EDHEC Risk Institute

EDHEC Business School

393-400 Promenade des Anglais

BP 3116

Nice Cedex 3

France

EDHEC Business School

58 rue du Port

Lille, 59046

France

EDHEC Business School - EDHEC Risk Climate Impact Institute

United Kingdom

  • EDHEC Risk Institute

  • EDHEC Business School

  • EDHEC Business School - EDHEC Risk Climate Impact Institute

SCHOLARLY PAPERS

7

DOWNLOADS

1,047

SSRN CITATIONS

1

CROSSREF CITATIONS

3

Scholarly Papers (7)

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1.

Optimizing the Compression Cycle: Algorithms for Multilateral Netting in OTC Derivatives Markets

Number of pages: 25 Posted: 25 Jun 2013 Last Revised: 30 May 2014
Dominic O'Kane
EDHEC Risk Institute
Downloads 390 (140,325)
Citation 6

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Counterparty, CDS, OTC derivatives, default, algorithm, CDS indices, Numerical methods

2.

Counterparty Risk Reduction by the Optimal Netting of OTC Derivatives

Number of pages: 28 Posted: 25 Nov 2014
Dominic O'Kane
EDHEC Risk Institute
Downloads 230 (243,244)

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Counterparty Risk, Netting, Derivatives, Linear Programming, Quadratic Programming

3.

Optimal Climate Policy with Negative Emissions

Number of pages: 28 Posted: 03 Jan 2023
Riccardo Rebonato, Dherminder Kainth, Lionel Melin and Dominic O'Kane
EDHEC Business School, EDHEC Business School, EDHEC Business School and EDHEC Risk Institute
Downloads 178 (309,056)

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4.

Time Consistent Reinforcement Learning for Optimal Consumption Under Epstein-Zin Preferences

Number of pages: 34 Posted: 20 Mar 2023
Matthew Francis Dixon, Ivan Gvozdanovic and Dominic O'Kane
Illinois Institute of Technology, Illinois Institute of Technology and EDHEC Risk Institute
Downloads 132 (393,588)

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Optimal Consumption, Dynamic Utility Theory, Certainty Equivalents, Reinforcement Learning, Time consistency, Epstein-Zin, Wealth Management

5.

Approximating Independent Loss Distributions with an Adjusted Binomial Distribution

Journal of Credit Risk, Volume 7/Number 4, Winter 2011/12
Number of pages: 15 Posted: 24 Jun 2013
Dominic O'Kane
EDHEC Risk Institute
Downloads 63 (637,872)

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Credit Portfolio Loss Distribution, CDO, Synthetic Tranche, Gaussian Copula, Base Correlation, Conditionally Independent, Numerical Methods

6.

Substitution Costs in Managed Synthetic CDOs

Number of pages: 19 Posted: 03 Dec 2013
Dominic O'Kane
EDHEC Risk Institute
Downloads 54 (681,443)

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CDS, CDS Indices, CDO, Gaussian Copula, Base Correlation

7.

Force-Fitting CDS Spreads to CDS Index Swaps

Journal of Derivatives, Vol. 18, No. 3, 2011, https://doi.org/10.3905/jod.2011.18.3.061
Posted: 20 May 2019
Dominic O'Kane
EDHEC Risk Institute
Downloads 0 (1,120,022)

Abstract:

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CDS Indices, CDO, Synthetic Tranche, Numerical Methods