Antoine Conze

Natixis

Paris

France

Hiram Finance

Quantitative Expert

11 avenue Delcassé

Paris, 75008

France

SCHOLARLY PAPERS

6

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Top 19,285

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4,876

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Scholarly Papers (6)

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1.

Probabilities of Default for Impairment Under IFRS 9

Number of pages: 6 Posted: 02 Nov 2015
Antoine Conze
Natixis
Downloads 1,741 (18,740)
Citation 1

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Rating Migration, Migration Matrices, Probability of Default, Through-the-Cycle, TTC, Point-in-Time, PIT, IFRS 9, Impairment, Expected Credit Losses, ASRF, Macroeconomic variables

2.

Bass Construction with Multi-Marginals: Lightspeed Computation in a New Local Volatility Model

Number of pages: 16 Posted: 26 May 2021
Antoine Conze and Pierre Henry-Labordere
Natixis and Qube Research & Technologies
Downloads 1,156 (34,503)

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3.

Vega KT for the Local Volatility Model: An AD Approach

Number of pages: 17 Posted: 13 May 2022 Last Revised: 16 Dec 2022
Joachim Adrien, Antoine Conze, Pierre Henry-Labordere, Rachid Louzir, Rida Mahi, Luc Mathieu, Marouen Messaoud, Florian Monciaud, Claude Muller and Adil Reghai
Natixis, Natixis, Qube Research & Technologies, Natixis, Natixis, Natixis, Natixis, Independent, Natixis and ADIA
Downloads 867 (51,790)

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local volatitlity, AD, Vega decomposition

4.

Introduction À L’Évaluation Et Couverture Des Options (An Introduction to Options Valuation and Hedging)

Number of pages: 40 Posted: 03 Jan 2018
Antoine Conze
Natixis
Downloads 742 (63,877)

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Valorisation des options, Finance quantitative

5.

The Valuation of Fixed Term Securities Lending in a Multi-Curve Framework

Number of pages: 9 Posted: 04 Apr 2019
Antoine Conze
Natixis
Downloads 288 (194,824)

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fixed term securities lending, securities lending, repo, multi-curve, basis, convexity adjustment

6.

From Utility Indifference Pricing to Risk Premium Pricing for a Contingent Claim on a Non-Tradable Asset

Number of pages: 5 Posted: 26 Nov 2016
Antoine Conze
Natixis
Downloads 82 (547,999)

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utility indifference pricing, risk premium, non-tradable asset, contingent claim