Sophie Coutant

Banque de France

31 rue Croix des Petits Champs

Paris, 75049

France

SCHOLARLY PAPERS

2

DOWNLOADS

417

SSRN CITATIONS
Rank 8,508

SSRN RANKINGS

Top 8,508

in Total Papers Citations

2

CROSSREF CITATIONS

128

Scholarly Papers (2)

1.

Copulas, Multivariate Risk - Neutral Distributions and Implied Dependence Functions

Number of pages: 15 Posted: 26 Nov 2007
Banque de France, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 318 (102,143)
Citation 4

Abstract:

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Copulas, risk-neutral distribution, change of numéraire, option pricing, implied multivariate RND

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and Notional Operators Appreciated the 1997 French Snap Election

Banque de France Working Paper No. 54
Number of pages: 46 Posted: 05 Jan 2011
Sophie Coutant, Eric Jondeau and Michael Rockinger
Banque de France, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 99 (287,992)
Citation 129

Abstract:

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Risk neutral density, Futures option pricing, PIBOR, Notional, Political risk

Reading Interest Rate and Bond Futures Options' Smiles: How Pibor and Notional Operators Appreciated the 1997 French Snap Election

Posted: 17 Feb 1999
Sophie Coutant, Eric Jondeau and Michael Rockinger
Banque de France, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Abstract:

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