Donatien Hainaut

Université Catholique de Louvain

Assistant professor

Voie du Roman Pays 20,

Louvain La Neuve, 1348

Belgium

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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SSRN RANKINGS

Top 40,667

in Total Papers Citations

6

CROSSREF CITATIONS

7

Scholarly Papers (16)

1.

A Structural Model for Credit Risk with Markov Modulated Lévy Processes and Synchronous Jumps

Forthcoming in European Journal of Finance
Number of pages: 18 Posted: 04 Feb 2013 Last Revised: 26 Oct 2014
Donatien Hainaut and David B. Colwell
Université Catholique de Louvain and UNSW Australia Business School, School of Banking and Finance
Downloads 197 (155,344)
Citation 2

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credit risk, lévy processes, switching regimes

2.

An Intensity Model for Credit Risk with Switching Lévy Processes.

Quantitative Finance, 14 (8), 2014
Number of pages: 22 Posted: 03 Feb 2013 Last Revised: 08 Nov 2014
Donatien Hainaut and Olivier Le Courtois
Université Catholique de Louvain and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 148 (199,351)
Citation 1

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Regime-switching model, Markov chain, Lévy process

3.

A Self-Organizing Predictive Map for Non-Life Insurance

Number of pages: 31 Posted: 16 Jan 2018 Last Revised: 21 Mar 2018
Donatien Hainaut
Université Catholique de Louvain
Downloads 127 (225,221)
Citation 1

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Neural network, self organizing map, non-life insurance, claims frequency, regression models

4.

Strategic Asset Allocation with Switching Dependence

Annals of Finance Vol 8(1), 2012, pp. 75-96.
Number of pages: 19 Posted: 22 Oct 2013
Donatien Hainaut and Renaud Macgilchrist
Université Catholique de Louvain and ESC Rennes Business School
Downloads 100 (267,367)

Abstract:

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copula, switching regime

5.

Credit Risk Valuation with Rating Transitions and Partial Information

Forthcoming in International Journal of Applied and Theoretical Finance
Number of pages: 30 Posted: 03 Feb 2013 Last Revised: 26 Oct 2014
Donatien Hainaut and Christian Robert
Université Catholique de Louvain and University of Lyon 1 - Institute of Finance and Insurance Science (ISFA)
Downloads 84 (298,817)

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Credit migrations models, Partial and delayed information, Corporate bonds, Credit derivatives, Phase-type distributions

6.

Risk Management of CPPI Funds in Switching Regime Markets

Bankers, Markets and Investors. August 2011. (eds Revue Banque)
Number of pages: 15 Posted: 21 Jan 2014
Donatien Hainaut
Université Catholique de Louvain
Downloads 67 (340,057)

Abstract:

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CPPI, switching regime, portfolio optimization.

7.

A Fractal Version of the Hull-White Interest Rate Model

Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Number of pages: 19 Posted: 03 Jun 2012
Donatien Hainaut
Université Catholique de Louvain
Downloads 61 (356,856)

Abstract:

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Hidden Markov process, switching Brownian motion, Interest rates

8.

Dynamic Asset Allocation Under VAR Constraint with Stochastic Interest Rates

Annals of Operation Research, Vol. 172, No. 1, 2009
Number of pages: 20 Posted: 14 Sep 2013 Last Revised: 22 Oct 2013
Donatien Hainaut
Université Catholique de Louvain
Downloads 42 (420,346)
Citation 1

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asset allocation, value at risk, bounded shortfall risk, stochastic interest rates

9.

Approximate Default Probabilities of a Holding Company, with Complete and Partial Information

Forthcoming in Journal of Computational and Applied Mathematics
Number of pages: 25 Posted: 03 Feb 2013 Last Revised: 26 Oct 2014
Donatien Hainaut and Griselda Deelstra
Université Catholique de Louvain and Université Libre de Bruxelles (ULB)
Downloads 40 (428,003)

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default risk, structural model, incomplete information, convex ordering, comonotonicity

10.

Clustered Lévy Processes and Their Financial Applications

Number of pages: 34 Posted: 23 Dec 2016
Donatien Hainaut
Université Catholique de Louvain
Downloads 39 (432,190)
Citation 1

Abstract:

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Subordination, Lévy process, Hawkes process, Time-changed process

11.

A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 03 Jun 2016
Donatien Hainaut and Franck Moraux
Université Catholique de Louvain and Université de Rennes I and CREM
Downloads 28 (481,457)

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Hawkes process, self exciting process, clustering effects

12.

Impulse Control of Pension Fund Contributions, in a Regime Switching Economy

Forthcoming in European Journal of Operational Research
Number of pages: 18 Posted: 21 Jan 2014 Last Revised: 26 Oct 2014
Donatien Hainaut
Université Catholique de Louvain
Downloads 28 (481,457)
Citation 2

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Pension fund, Impulse control, Regime switching, Transaction costs, Liquidity risk

13.

Life Annuitization: Why and How Much?

ASTIN Bulletin, Vol 36(2), 2006, p. 629-654
Number of pages: 23 Posted: 22 Oct 2013
Donatien Hainaut and Pierre Devolder
Université Catholique de Louvain and Catholic University of Louvain
Downloads 27 (486,658)

Abstract:

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optimal consumption and portfolio policies, annuity puzzle, Markov chain approximation, stochastic control, annuity puzzle

14.

Optimal Design of Profit Sharing Rates by FFT

Insurance: Mathematics and Economics, Vol. 46, No. 3, 2010
Number of pages: 18 Posted: 22 Oct 2013
Donatien Hainaut
Université Catholique de Louvain
Downloads 11 (581,073)

Abstract:

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Fast Fourier Transform, fair pricing

15.

Hedging of Options in the Presence of Jump Clustering

Journal of Computational Finance, Forthcoming
Number of pages: 36 Posted: 03 Dec 2018
Donatien Hainaut and Franck Moraux
Université Catholique de Louvain and Université de Rennes I and CREM
Downloads 2 (644,900)
Citation 1
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self-excitation, Hawkes process, minimum variance hedging, options pricing, shot noise process

16.

An Interest Rate Tree Driven by a Lévy Process

Journal of Derivatives, Vol. 18, No. 2, 2010, https://doi.org/10.3905/jod.2010.18.2.033
Posted: 12 Sep 2013 Last Revised: 21 May 2019
Donatien Hainaut and Renaud Macgilchrist
Université Catholique de Louvain and ESC Rennes Business School

Abstract:

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term structure of interest rates, Lévy process, Hull & White model