Laurent Cousot

BNP Paribas

Quantitative Analyst

Paris

France

SCHOLARLY PAPERS

6

DOWNLOADS

2,263

20

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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 Finance and Risk Engineering and BNP Paribas
Downloads 497 (54,751)

Abstract:

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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 432 (65,134)

Abstract:

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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 Finance and Risk Engineering and BNP Paribas
Downloads 373 (77,500)

Abstract:

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

4.

Conditions on Option Prices for Absence of Arbitrage and Exact Calibration

Number of pages: 22 Posted: 28 Oct 2010
Laurent Cousot
BNP Paribas
Downloads 352 (82,920)

Abstract:

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options, arbitrage, calibration, default probability

5.
Downloads 320 (92,324)

Abstract:

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

6.

Pricing CDOs with State Dependent Stochastic Recovery Rates

Number of pages: 38 Posted: 28 Oct 2010
BNP Paribas, BNP Paribas, BNP Paribas and University Paris 1 Panthéon - Sorbonne, PRISM Sorbonne & Labex ReFi
Downloads 289 (103,164)

Abstract:

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credit risk assessment, recovery rates, stochastic orders, CDOs