Marc Decamps

Katholieke Universiteit Leuven (KUL)

Oude Markt 13

Leuven, Vlaams-Brabant

Belgium

  • Katholieke Universiteit Leuven (KUL)

SCHOLARLY PAPERS

8

DOWNLOADS

1,276

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (8)

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1.

Self Exciting Threshold Interest Rates Models

International Journal of Theoretical and Applied Finance, Vol. 9, No. 7, pp. 1093-1122, 2006
Number of pages: 36 Posted: 07 Jan 2005 Last Revised: 15 Mar 2009
Marc Decamps, Marc Goovaerts and Wim Schoutens
Katholieke Universiteit Leuven (KUL), Catholic University of Leuven (KUL) - Department of Economics and KU Leuven - Department of Mathematics
Downloads 358 (154,396)
Citation 3

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SETAR, State-price density, Skew Brownian motion, Eigenfunction expansions, Interest rates, Market models

2.

Atomic Implied Volatilities

Number of pages: 27 Posted: 06 Oct 2008 Last Revised: 30 Nov 2009
Marc Decamps and Ann De Schepper
Katholieke Universiteit Leuven (KUL) and University of Antwerp - Faculty of Applied Economics
Downloads 236 (237,343)
Citation 1

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SABR model, Duru-Kleinert transformation

3.

A Note on Some New Perpetuities

Scandinavian Actuarial Journal, Vol. 4, p. 261-270, 2005
Number of pages: 13 Posted: 06 Jan 2005 Last Revised: 07 Oct 2008
Marc Decamps, Ann De Schepper, Marc Goovaerts and Wim Schoutens
Katholieke Universiteit Leuven (KUL), University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and KU Leuven - Department of Mathematics
Downloads 208 (267,366)

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Skew Brownian motion, Bessel processes, local time, spectral theory, perpetuities

4.

Spectral Decomposition of Optimal Asset-Liability Management

Journal of Economic Dynamics and Control, Vol. 33, No. 3, pp. 710-724, 2009
Number of pages: 21 Posted: 06 Oct 2008 Last Revised: 16 Mar 2009
Ann De Schepper, Marc Goovaerts and Marc Decamps
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven (KUL)
Downloads 197 (280,922)

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asset-liability management, HJB principle, local time, spectral theory

5.

Edgeworth Expansions of Stochastic Trading Time

Number of pages: 25 Posted: 10 Nov 2009 Last Revised: 17 May 2010
Marc Decamps and Ann De Schepper
Katholieke Universiteit Leuven (KUL) and University of Antwerp - Faculty of Applied Economics
Downloads 104 (470,185)

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Stochastic volatility, Fourier transform, Duru-Kleinert transformation, Edgeworth expansions

6.

Duru-Kleinert Asymptotic Expansions for Long-Term Foreign Exchange and Swaptions Implied Volatility Smile

Number of pages: 15 Posted: 28 Nov 2009 Last Revised: 26 Jan 2012
Marc Decamps and Ann De Schepper
Katholieke Universiteit Leuven (KUL) and University of Antwerp - Faculty of Applied Economics
Downloads 91 (513,539)

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FX option, Duru-Kleinert transformation, Parameter averaging

7.

Closed Form Approximations for Diffusion Densities: A Path Integral Approach

Journal of Computational and Applied Mathematics, Vols. 164-165, pp. 337-364, March 2004
Number of pages: 39 Posted: 06 Oct 2008
Ann De Schepper, Marc Goovaerts and Marc Decamps
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven (KUL)
Downloads 82 (547,488)
Citation 3

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diffusion processes, transition probability, path integral, comonoticity

8.

A Path Integral Approach to Asset-Liability Management

Physica A: Statistical Mechanics and its Applications, Vol. 363, No. 2, pp.404-416, 2006
Posted: 14 Mar 2009
Marc Decamps, Ann De Schepper and Marc Goovaerts
Katholieke Universiteit Leuven (KUL), University of Antwerp - Faculty of Applied Economics and Catholic University of Leuven (KUL) - Department of Economics

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Functional integral; ALM; Delta-Function perturbation; Local time; Spectral method