Grégory Rapuch

affiliation not provided to SSRN

No Address Available

SCHOLARLY PAPERS

3

DOWNLOADS

625

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (3)

1.

Copulas, Multivariate Risk - Neutral Distributions and Implied Dependence Functions

Number of pages: 15 Posted: 26 Nov 2007
Banque de France, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN and Amundi Asset Management
Downloads 318 (102,094)
Citation 4

Abstract:

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Copulas, risk-neutral distribution, change of numéraire, option pricing, implied multivariate RND

2.

Modelling Dependence for Credit Derivatives with Copulas

Number of pages: 23 Posted: 26 Nov 2007
affiliation not provided to SSRN, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 307 (105,695)
Citation 12

Abstract:

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Copulas, intensity models, Cox processes, Bessel processes, Moody's diversity score

3.

Some Remarks on Two - Asset Options Pricing and Stochastic Dependence of Asset Prices

Journal of Computational Finance, Vol. 7, No. 4, 2004
Posted: 26 Nov 2007
Grégory Rapuch and Thierry Roncalli
affiliation not provided to SSRN and Amundi Asset Management

Abstract:

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Copulas, two-asset options, Spread, Basket, Min, Max, Best Of, Worst Of, supermodular order, concordance order, Fréchet bounds, Feynman-Kac representation, maximum principle, parabolic PDE