Laurent Cousot

BNP Paribas

Quantitative Analyst

Paris

France

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 18,126

SSRN RANKINGS

Top 18,126

in Total Papers Downloads

2,090

CITATIONS
Rank 17,420

SSRN RANKINGS

Top 17,420

in Total Papers Citations

19

Scholarly Papers (6)

1.

A PDE Approach to Jump-Diffusions

Number of pages: 37 Posted: 28 Oct 2010
Peter Carr and Laurent Cousot
New York University (NYU) - Courant Institute of Mathematical Sciences and BNP Paribas
Downloads 425 (48,819)

Abstract:

martingale, jump-di ffusion, partial diff erential equation, calibration, option

2.

A Comparison between the Stochastic Intensity SSRD Model and the Market Model for CDS Options Pricing

Number of pages: 28 Posted: 16 Sep 2004
Damiano Brigo and Laurent Cousot
Imperial College London - Department of Mathematics and BNP Paribas
Downloads 380 (57,012)
Citation 8

Abstract:

3.

Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles

Number of pages: 35 Posted: 28 Oct 2010 Last Revised: 05 Jul 2011
Peter Carr and Laurent Cousot
New York University (NYU) - Courant Institute of Mathematical Sciences and BNP Paribas
Downloads 333 (65,177)
Citation 2

Abstract:

martingale, marginal distribution, diffusion, jump-diffusion, calibration, option, time change

4.
Downloads 293 (79,672)
Citation 2

Abstract:

Option pricing, arbitrage, Markov chains, martingale transition matrix, entropy, copula, forward implied volatility, forward start option

5.

Conditions on Option Prices for Absence of Arbitrage and Exact Calibration

Number of pages: 22 Posted: 28 Oct 2010
Laurent Cousot
BNP Paribas
Downloads 237 (79,405)
Citation 5

Abstract:

options, arbitrage, calibration, default probability

6.

Pricing CDOs with State Dependent Stochastic Recovery Rates

Number of pages: 38 Posted: 28 Oct 2010
BNP Paribas, BNP Paribas, BNP Paribas and Université Paris I Panthéon-Sorbonne - Laboratoire PRISM
Downloads 199 (100,829)
Citation 2

Abstract:

credit risk assessment, recovery rates, stochastic orders, CDOs