3 Avenue Bernard Hirsch
CS 50105 CERGY
CERGY, CERGY PONTOISE CEDEX 95021
ESSEC Business School
in Total Papers Downloads
in Total Papers Citations
discount curve, forecast curve, vanilla swaps, cross-currency swaps basis swaps
HJM, Cheyette, smile, quadratic volatility, averaging techniques
Quadratic Volatility, Time-Dependent Parameters, Parameter Averaging, Smart Expansion
CSA, OIS discounting, Bootstrapping, Cheyette model, Foreign collateralisation
HJM, Cheyette, Separable volatilities, Skew, Averaging Technics
Barrier Option, Finite Difference, Local Volatility, Smoothing
SABR, Hedging, European, FX Smile, Smile Risk, Replication
equity smile, stochastic interest rates, local volatility, Markovian projection, quadratic volatility
Housing CCAPM, Rare Disaster Events, Cumulant Generating Function, Power Law Distribution, Yield Curve
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