Daniel Totouom

BNP Paribas

Paris

France

SCHOLARLY PAPERS

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Scholarly Papers (2)

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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 1,026 (33,463)
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credit derivatives, structured products, CDO, pricing, modeling

2.

Dynamic Copula Processes

Number of pages: 33 Posted: 27 May 2010
Alain G. Galli, Margaret Armstrong, Margaret Armstrong and Daniel Totouom
Cerna Mines-Paristech, Cerna Mines-ParistechFGV EMAp and BNP Paribas
Downloads 254 (182,405)
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Key words: Copulas, Archimedean, Tail dependence, Pearson process, Affine processes, CIR process, multivariate Laplace transform