Simone Scotti

Université Paris VII Denis Diderot

2, place Jussieu

Paris, 75005

France

SCHOLARLY PAPERS

6

DOWNLOADS

539

SSRN CITATIONS

3

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Optimal Exit Strategies for Investment Projects

Number of pages: 33 Posted: 23 Apr 2013 Last Revised: 24 Oct 2014
Université de Marne-la-Vallée, Université d'Évry, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and Université Paris VII Denis Diderot
Downloads 129 (225,679)

Abstract:

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real options, stochastic control, liquidity discount, regime shifting, viscosity solutions, system of variational inequalities

2.

Optimal Execution Cost for Liquidation Through a Limit Order Market

Number of pages: 28 Posted: 30 Nov 2013 Last Revised: 26 Apr 2017
Université de Marne-la-Vallée, Université d'Évry, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG) and Université Paris VII Denis Diderot
Downloads 108 (257,089)

Abstract:

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Liquidity Risk, Limit Order Books, Impulse Control, Viscosity Solutions, System of Variational Inequalities

3.

Sensitivity Analysis for Marked Hawkes Processes - Application to CLO Pricing

Number of pages: 21 Posted: 10 Aug 2017
Guillaume Bernis, Kaouther Salhi and Simone Scotti
Natixis Assurances, NATIXIS Asset Management and Université Paris VII Denis Diderot
Downloads 104 (263,955)

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Change of Probability, Credit Derivatives, Poisson Processes, Hawkes Processes, Sensitivity Analysis

4.

Optimal Investment in Markets with Over and Under-Reaction to Information

Number of pages: 27 Posted: 06 Jul 2015
University of Padua, Université d'Évry, Université Paris VII Denis Diderot and Politecnico di Milano- Dipartimento di Matematica
Downloads 93 (284,216)
Citation 1

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Jump-Diffusion Models, Partial Information, Portfolio Optimization, Nonlinear Filtering, Enlargement of Filtrations, Over and Under-Reaction

5.

A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process

Number of pages: 22 Posted: 09 May 2019
Guillaume Bernis, Simone Scotti and Carlo Sgarra
Natixis Assurances, Université Paris VII Denis Diderot and Politecnico di Milano- Dipartimento di Matematica
Downloads 67 (347,467)

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Stochastic volatility, Hawkes processes, Jump clusters, Exponential affine processes, Variance Swap, Implied volatility for variance options

6.

Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling

Number of pages: 27 Posted: 17 Feb 2016 Last Revised: 19 Feb 2016
Ying Jiao, Chunhua Ma and Simone Scotti
Universit ?e Claude Bernard-Lyon 1, Institut de Science Financier et d’Assurances, Nankai University and Université Paris VII Denis Diderot
Downloads 38 (442,244)
Citation 4

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