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Karoui, Lotfi's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,515 |
Total
Citations
10 |
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1.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Lotfi
Goldman, Sachs & Co Mimouni, Karim
McGill University - Desautels Faculty of Management
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18 Jun 08
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Last Revised:
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01 Aug 09
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398
(34,195)
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3
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term structure models, Kalman filtering, nonlinearity, swaps
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2.
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Karoui, Lotfi
Goldman, Sachs & Co
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323
(44,105)
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3
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defaultable bonds, credit default swap contracts, stochastic recovery rate, discrete time.
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3.
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Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Lotfi
Goldman, Sachs & Co
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288
(50,450)
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term structure model, affine, conditional volatility, segmentation hypothesis, time series, cross section, EGARCH
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4.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Dorion, Christian
HEC Montreal Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Lotfi
Goldman, Sachs & Co
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186
(80,166)
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Kalman filtering, nonlinearity, term structure models, swaps, caps
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5.
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Ben Ameur, Hatem
HEC Montreal - Department of Management Sciences Karoui, Lotfi
Goldman, Sachs & Co Mnif, Walid
University of Western Ontario
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24 Jan 11
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Last Revised:
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23 May 12
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178
(83,523)
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affine term structure models, pricing, transition densities, interpolation, swaptions, Eurodollar Options, Monte Carlo
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6.
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Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Lotfi
Goldman, Sachs & Co
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05 May 08
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Last Revised:
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12 May 08
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142
(102,568)
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4
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term structure model, affine, interest rate swap, Treasury market, conditional volatilility, time series, cross section, EGARCH
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7.
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Ben Ameur, Hatem
HEC Montreal - Department of Management Sciences Breton, Michèle
HEC Montreal - Department of Management Sciences Karoui, Lotfi
Goldman, Sachs & Co L'Ecuyer, Pierre
University of Montreal
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04 Jul 06
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Last Revised:
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29 Feb 12
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Option pricing, Bond pricing, Dynamic Programming, Options embedded in bonds
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Records 1 -
7
of 7 matches
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