Lotfi Karoui

Goldman, Sachs & Co

1 New York Plaza

New York, NY 10004

United States

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 24,112

SSRN RANKINGS

Top 24,112

in Total Papers Downloads

1,999

SSRN CITATIONS
Rank 28,116

SSRN RANKINGS

Top 28,116

in Total Papers Citations

8

CROSSREF CITATIONS

16

Scholarly Papers (8)

1.

Nonlinear Kalman Filtering in Affine Term Structure Models

Number of pages: 46 Posted: 24 May 2012 Last Revised: 04 Oct 2013
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 521 (53,882)
Citation 2

Abstract:

Loading...

Kalman filtering, nonlinearity, term structure models, swaps, caps

2.

Nonlinear Filtering in Affine Term Structure Models: Evidence from the Term Structure of Swap Rates

Number of pages: 56 Posted: 18 Jun 2008 Last Revised: 01 Aug 2009
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, Goldman, Sachs & Co and McGill University - Desautels Faculty of Management
Downloads 464 (62,303)
Citation 9

Abstract:

Loading...

term structure models, Kalman filtering, nonlinearity, swaps

3.

Modeling Defaultable Securities With Recovery Risk

Number of pages: 52 Posted: 20 Apr 2006
Lotfi Karoui
Goldman, Sachs & Co
Downloads 387 (77,407)
Citation 4

Abstract:

Loading...

defaultable bonds, credit default swap contracts, stochastic recovery rate, discrete time.

4.

Affine Term Structure Models, Volatility and the Segmentation Hypothesis

Number of pages: 53 Posted: 02 Aug 2006
Kris Jacobs and Lotfi Karoui
University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 314 (98,187)
Citation 2

Abstract:

Loading...

term structure model, affine, conditional volatility, segmentation hypothesis, time series, cross section, EGARCH

5.

Conditional Volatility in Affine Term Structure Models: Evidence from Treasury and Swap Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 55 Posted: 05 May 2008 Last Revised: 12 May 2008
Kris Jacobs and Lotfi Karoui
University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 182 (169,159)
Citation 3

Abstract:

Loading...

term structure model, affine, interest rate swap, Treasury market, conditional volatilility, time series, cross section, EGARCH

6.

Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix

Rotman School of Management Working Paper No. 2322760
Number of pages: 4 Posted: 10 Sep 2013
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 131 (222,891)
Citation 11

Abstract:

Loading...

Kalman filtering, nonlinearity, term structure models, swaps, caps

7.

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

Abstract:

Loading...

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

8.

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
HEC Montreal - Department of Management Sciences, HEC Montreal - Department of Management Sciences, Goldman, Sachs & Co and University of Montreal

Abstract:

Loading...

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