Evry
France
Paris
Evry University
French Treasury
Affine-quadratic models, Option pricing, Model calibration
credit derivatives, intensity, hazard process, credit default swap
Local volatility, stochastic volatility, forward volatility, diffusion models, jump models, stochastic calculus
semi-martingales decomposition, filtration enlargement, initial time, credit risk
credit derivatives, intensity, hazard process, hedging, completness, credit default swap
