Eymen Errais

Stanford University

Stanford, CA 94305

United States

SCHOLARLY PAPERS

4

DOWNLOADS
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Top 16,138

in Total Papers Downloads

2,362

CITATIONS
Rank 11,146

SSRN RANKINGS

Top 11,146

in Total Papers Citations

37

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 853 (19,853)
Citation 30

Abstract:

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 678 (27,809)
Citation 1

Abstract:

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 632 (30,803)
Citation 5

Abstract:

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 93 (221,703)
Citation 1

Abstract: