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Chibane, Messaoud's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,692 |
Total
Citations
10 |
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1.
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Chibane, Messaoud
Shinsei Bank Ltd Selvaraj, JayaPrakash
Shinsei Bank, Limited Sheldon, Guy
affiliation not provided to SSRN
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25 Apr 09
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Last Revised:
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11 Jun 12
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2,854
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9
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discount curve, forecast curve, vanilla swaps, cross-currency swaps basis swaps
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2.
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Chibane, Messaoud
Shinsei Bank Ltd Huang, Yi-Chen
affiliation not provided to SSRN Selvaraj, JayaPrakash
Shinsei Bank, Limited
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15 Jun 12
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Last Revised:
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21 Jun 12
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191
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CSA, OIS discounting, Bootstrapping, Cheyette model, Foreign collateralisation
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3.
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Chibane, Messaoud
Shinsei Bank Ltd Miao, Hong
Shinsei Bank Ltd Xu, Chenghai
affiliation not provided to SSRN
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27 Jan 11
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Last Revised:
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19 Oct 12
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176
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SABR, Hedging, European, FX Smile, Smile Risk, Replication
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4.
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Chibane, Messaoud
Shinsei Bank Ltd
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24 May 11
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Last Revised:
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10 Mar 12
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172
(86,456)
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Quadratic Volatility, Time-Dependent Parameters, Parameter Averaging, Smart Expansion
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5.
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Chibane, Messaoud
Shinsei Bank Ltd
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115
(122,070)
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Barrier Option, Finite Difference, Local Volatility, Smoothing
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6.
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Chibane, Messaoud
Shinsei Bank Ltd
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75
(162,642)
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1
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HJM, Cheyette, Separable volatilities, Skew, Averaging Technics
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7.
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Chibane, Messaoud
Shinsei Bank Ltd Law, Dikman
affiliation not provided to SSRN
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55
(191,823)
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equity smile, stochastic interest rates, local volatility, Markovian projection, quadratic volatility
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8.
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Chibane, Messaoud
Shinsei Bank Ltd Law, Dikman
affiliation not provided to SSRN
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54
(193,549)
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HJM, Cheyette, smile, quadratic volatility, averaging techniques
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Records 1 -
8
of 8 matches
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1
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