Denis Talay

French National Institute for Research in Computer Science and Control (INRIA)

2004 route des Lucioles

BP 94

06902 Sophia Antipolis Cedex

France

SCHOLARLY PAPERS

3

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3,141

SSRN CITATIONS
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Top 37,904

in Total Papers Citations

2

CROSSREF CITATIONS

14

Scholarly Papers (3)

Modeling the Term Structure of Interest Rates: A Review of the Literature

Number of pages: 97 Posted: 23 Jul 2001
Francois Lhabitant, Rajna Gibson and Denis Talay
Kedge Capital Fund Management, University of Geneva - Geneva Finance Research Institute (GFRI) and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 2,784 (4,360)
Citation 4

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Interest rates, term structure models

Modeling the Term Structure of Interest Rates: A Review of the Literature

Foundations and Trends in Finance, Vol. 5, No. 1-2, 2010
Number of pages: 171 Posted: 29 Feb 2012
Rajna Gibson, Francois Lhabitant and Denis Talay
University of Geneva - Geneva Finance Research Institute (GFRI), Kedge Capital Fund Management and French National Institute for Research in Computer Science and Control (INRIA)
Downloads 2 (701,567)
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term structure, interest rates, continuous-time models

2.

A Methodology to Analyze Model Risk with an Application to Discount Bond Options in a Heath-Jarrow-Morton Framework

Risklab Research Report
Number of pages: 42 Posted: 10 Jul 2001
Kedge Capital Fund Management, Institut National de Recherche en Informatique et Automatique (INRIA), University of Geneva - Geneva Finance Research Institute (GFRI), French National Institute for Research in Computer Science and Control (INRIA) and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Downloads 327 (96,646)

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model risk, interest rate risk, Heath-Jarrow-Morton

3.

Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications

Mathematical Finance, Vol. 13, pp. 187-199, 2003
Number of pages: 13 Posted: 19 Jan 2003
Denis Talay and Ziyu Zheng
French National Institute for Research in Computer Science and Control (INRIA) and Morgan Stanley
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