Hatem Ben Ameur

HEC Montreal - Department of Management Sciences

Montreal, Quebec H3T 2A7

Canada

  • HEC Montreal - Department of Management Sciences

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SCHOLARLY PAPERS

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Scholarly Papers (6)

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1.

A Dynamic Programming Approach for Pricing CDS and CDS Options

Number of pages: 22 Posted: 06 May 2005
Eymen Errais, Hatem Ben Ameur and Damiano Brigo
Stanford University, HEC Montreal - Department of Management Sciences and Imperial College London - Department of Mathematics
Downloads 745 (37,164)

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Credit Derivatives, Credit Default Swaps, Bermudan Options, Dynamic Programming, Doubly Stochastic Process, Cox Process

2.

Pricing Installment Options with an Application to Asx Installment Warrants

Number of pages: 26 Posted: 07 Jan 2003
Hatem Ben Ameur, Michèle Breton and Pascal Francois
HEC Montreal - Department of Management Sciences, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Finance
Downloads 266 (128,445)
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Option Pricing, Exotic Options, Dynamic Programming, Installment Options

3.

Pricing Interest Rate Derivatives with Piecewise Multilinear Interpolations and Transition Parameters

Posted: 24 Jan 2011 Last Revised: 27 Oct 2014
Hatem Ben Ameur, Lotfi Karoui and Walid Mnif
HEC Montreal - Department of Management Sciences, Goldman, Sachs & Co and TD Bank

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affine term structure models; no-arbitrage pricing; transition parameters; piecewise multilinear interpolation; swaptions; Eurodollar futures options; Monte Carlo simulation

4.

Pricing the CBOT T-Bonds Futures

Posted: 23 Jan 2009
Ramzi Ben-Abdallah, Hatem Ben Ameur and Michèle Breton
University of Quebec at Montreal - School of Management - Department of Finance, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Management Sciences

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Futures, asset pricing, dynamic programming, cheapest-to-deliver, delivery options, interest-rate models

5.

An Analysis of the True Notional Bond System Applied to the CBOT T-Bonds Futures

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 12 Dec 2007
Ramzi Ben-Abdallah, Michèle Breton and Hatem Ben Ameur
University of Quebec at Montreal - School of Management - Department of Finance, HEC Montreal - Department of Management Sciences and HEC Montreal - Department of Management Sciences

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6.

A Dynamic Programming Approach for Pricing Options Embedded in Bonds

Journal of Economic Dynamics and Control, Vol. 31, No. 7, pp. 2212-2233, July 2007
Posted: 04 Jul 2006 Last Revised: 29 Feb 2012
Hatem Ben Ameur, Michèle Breton, Lotfi Karoui and Pierre L'Ecuyer
HEC Montreal - Department of Management Sciences, HEC Montreal - Department of Management Sciences, Goldman, Sachs & Co and University of Montreal

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Option pricing, Bond pricing, Dynamic Programming, Options embedded in bonds