Daniel Totouom

BNP Paribas

Paris

France

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

CDO and Structured Financial Products: A Modeling Perspective

NYU Poly Research Paper Forthcoming
Number of pages: 51 Posted: 13 Jul 2010
Charles S. Tapiero and Daniel Totouom
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering and BNP Paribas
Downloads 857 (19,386)

Abstract:

credit derivatives, structured products, CDO, pricing, modeling

2.

Dynamic Copula Processes

Number of pages: 33 Posted: 27 May 2010
Alain G. Galli, Margaret Armstrong and Daniel Totouom
Cerna Mines-Paristech, Cerna Mines-Paristech and BNP Paribas
Downloads 209 (109,788)

Abstract:

Key words: Copulas, Archimedean, Tail dependence, Pearson process, Affine processes, CIR process, multivariate Laplace transform