Pierre-Arnaud Henri Drouhin

Université Paris Dauphine

223 Rue Saint-Honore

Paris, 75775

France

  • Université Paris Dauphine

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Stripping of Real Estate-Indexed Swaps and Forward Term Structure: Interest and Computational Method

Number of pages: 30 Posted: 03 Feb 2015
Pierre-Arnaud Henri Drouhin and Arnaud Simon
Université Paris Dauphine and Université Paris Dauphine - Centre de Recherches sur la Gestion (CEREG)
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swap, forward, term structure, diffusion process, change of probability measure.

2.

Forward Curve Risk Factors Analysis in the UK Real Estate Market

Journal of Real Estate Finance and Economics, Vol. 53, No. 4, 2016
Posted: 06 Oct 2016
Pierre-Arnaud Henri Drouhin, Arnaud Simon and Yasmine Essafi
Université Paris Dauphine, Université Paris Dauphine - Centre de Recherches sur la Gestion (CEREG) and BNP Paribas Cardif

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Real estate swap; Forward curve; Apprasial based index; First-difference model