Eymen Errais

Stanford University

Stanford, CA 94305

United States

SCHOLARLY PAPERS

4

DOWNLOADS

2,469

SSRN CITATIONS

26

CROSSREF CITATIONS

15

Scholarly Papers (4)

1.

Affine Point Processes and Portfolio Credit Risk

Number of pages: 29 Posted: 14 Jun 2006 Last Revised: 15 Jun 2010
Eymen Errais, Kay Giesecke and Lisa R. Goldberg
Stanford University, Stanford University - Management Science & Engineering and University of California, Berkeley
Downloads 947 (23,633)
Citation 32

Abstract:

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Self-exciting point process, affine jump diffusion, Hawkes process, transform, portfolio credit derivative, correlated default, index and tranche swap

2.

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 738 (33,510)

Abstract:

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

3.

Yes, Libor Models Can Capture Interest Rate Derivatives Skew: A Simple Modelling Approach

Number of pages: 27 Posted: 10 Mar 2005
Eymen Errais and Fabio Mercurio
Stanford University and Bloomberg L.P.
Downloads 682 (37,361)
Citation 8

Abstract:

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Libor models, caps, swaptions

4.

Valuing Pilot Projects in a Learning by Investing Framework: An Approximate Dynamic Programming Approach

Computers and Operations Research, Forthcoming
Number of pages: 24 Posted: 02 May 2005
Eymen Errais and Jeffrey R. Sadowsky
Stanford University and Stanford University - Management Science & Engineering
Downloads 102 (263,731)

Abstract:

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