Naoufel El-Bachir

University of Reading - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

4

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27

Scholarly Papers (4)

1.

Pricing Convertible Bonds by Simulation

Number of pages: 21 Posted: 08 Dec 2006
Ali Bora Yigitbasioglu and Naoufel El-Bachir
University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 1,203 (16,569)
Citation 5

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Monte Carlo, American Options, Convertible Bonds, Intensity Model, Credit Risk

2.

Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model

Number of pages: 22 Posted: 08 Dec 2006
Damiano Brigo and Naoufel El-Bachir
Imperial College London - Department of Mathematics and University of Reading - ICMA Centre
Downloads 378 (78,349)
Citation 11

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Credit Derivatives, Credit Default Swap, Credit Default Swaption, Jump-Diffusion, Stochastic Intensity, Doubly Stochastic Poisson Process, Cox Process

3.

An Exact Formula for Default Swaptions' Pricing in the SSRJD Stochastic Intensity Model

ICMA Centre Discussion Papers in Finance No. 2007-14
Number of pages: 18 Posted: 14 Nov 2007
Damiano Brigo and Naoufel El-Bachir
Imperial College London - Department of Mathematics and University of Reading - ICMA Centre
Downloads 218 (141,134)
Citation 6

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Credit derivatives, Credit Default Swap, Credit Default Swaption, Jump-diffusion, Stochastic intensity, Doubly stochastic poisson process, Cox process, Semi-Analytic formula, Numerical integration

4.

An Exact Formula for Default Swaptions’ Pricing in the SSRJD Stochastic Intensity Model

Mathematical Finance, Vol. 20, Issue 3, pp. 365-382, July 2010
Number of pages: 18 Posted: 08 Jun 2010
Damiano Brigo and Naoufel El-Bachir
Imperial College London - Department of Mathematics and University of Reading - ICMA Centre
Downloads 3 (635,127)
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