Yann Lecam

Evry University

Evry

France

French Treasury

Paris

France

SCHOLARLY PAPERS

5

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9

Scholarly Papers (5)

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1.

Implied Calibration and Moments Asymptotics in Stochastic Volatility Jump Diffusion Models

Number of pages: 32 Posted: 02 Nov 2005 Last Revised: 18 Nov 2008
Stefano Galluccio and Yann Lecam
BNP Paribas Fixed Income and Evry University
Downloads 441 (71,383)
Citation 5

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Affine-quadratic models, Option pricing, Model calibration

2.

Reduced Form Modelling for Credit Risk

Number of pages: 25 Posted: 19 Oct 2007 Last Revised: 02 Aug 2009
Monique Jeanblanc and Yann Lecam
Université d'Évry - Departement de Mathematiques and Evry University
Downloads 310 (106,925)
Citation 10

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credit derivatives, intensity, hazard process, credit default swap

3.

Implicit Diffusions

Number of pages: 72 Posted: 16 Nov 2008 Last Revised: 02 Aug 2009
Yann Lecam
Evry University
Downloads 174 (188,322)

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Local volatility, stochastic volatility, forward volatility, diffusion models, jump models, stochastic calculus

4.

Progressive Enlargement of Filtrations with Initial Times

Number of pages: 21 Posted: 30 Jul 2007 Last Revised: 18 Nov 2008
Monique Jeanblanc and Yann Lecam
Université d'Évry - Departement de Mathematiques and Evry University
Downloads 97 (294,770)
Citation 1

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semi-martingales decomposition, filtration enlargement, initial time, credit risk

5.

Immersion Property and Credit Risk Modeling

Number of pages: 31 Posted: 18 Dec 2007 Last Revised: 18 Nov 2008
Yann Lecam and Monique Jeanblanc
Evry University and Université d'Évry - Departement de Mathematiques
Downloads 94 (300,797)

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credit derivatives, intensity, hazard process, hedging, completness, credit default swap