Messaoud Chibane

ESSEC Business School

CHAIR OF FINANCE

3 Avenue Bernard Hirsch

CS 50105 CERGY

CERGY, CERGY PONTOISE CEDEX 95021

France

SCHOLARLY PAPERS

9

DOWNLOADS
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5,913

CITATIONS
Rank 25,532

SSRN RANKINGS

Top 25,532

in Total Papers Citations

10

Scholarly Papers (9)

1.

Building Curves on a Good Basis

Number of pages: 21 Posted: 25 Apr 2009 Last Revised: 11 Jun 2012
Messaoud Chibane, JayaPrakash Selvaraj and Guy Sheldon
ESSEC Business School, Shinsei Bank, Limited and affiliation not provided to SSRN
Downloads 3,326 (2,104)
Citation 9

Abstract:

discount curve, forecast curve, vanilla swaps, cross-currency swaps basis swaps

2.

A Quadratic Volatility Cheyette Model

Number of pages: 18 Posted: 30 Aug 2012
Messaoud Chibane and Dikman Law
ESSEC Business School and affiliation not provided to SSRN
Downloads 369 (35,098)

Abstract:

HJM, Cheyette, smile, quadratic volatility, averaging techniques

3.

Analytical Option Pricing for Time Dependent Quadratic Local Volatility Models

Number of pages: 38 Posted: 24 May 2011 Last Revised: 10 Mar 2012
Messaoud Chibane
ESSEC Business School
Downloads 285 (69,729)

Abstract:

Quadratic Volatility, Time-Dependent Parameters, Parameter Averaging, Smart Expansion

4.

Discounting Consistently with Collateral Posting

Number of pages: 28 Posted: 15 Jun 2012 Last Revised: 21 Jun 2012
Messaoud Chibane, Yi-Chen Huang and JayaPrakash Selvaraj
ESSEC Business School, Shinsei Bank, Ltd and Shinsei Bank, Limited
Downloads 279 (79,380)

Abstract:

CSA, OIS discounting, Bootstrapping, Cheyette model, Foreign collateralisation

5.

Explicit Volatility Specification for the Linear Cheyette Model

Number of pages: 18 Posted: 30 Jan 2012
Messaoud Chibane
ESSEC Business School
Downloads 272 (70,224)
Citation 1

Abstract:

HJM, Cheyette, Separable volatilities, Skew, Averaging Technics

6.

Accurate Pricing of Continuous Barrier Options with Local Volatility

Number of pages: 22 Posted: 25 May 2011
Messaoud Chibane
ESSEC Business School
Downloads 255 (85,121)

Abstract:

Barrier Option, Finite Difference, Local Volatility, Smoothing

7.

Sensible Sensitivities for the SABR Model

Number of pages: 26 Posted: 27 Jan 2011 Last Revised: 19 Oct 2012
Messaoud Chibane, Hong Miao and Chenghai Xu
ESSEC Business School, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 230 (101,257)

Abstract:

SABR, Hedging, European, FX Smile, Smile Risk, Replication

8.

A Volatile Interest in Local Volatility: A Hybrid Model for Long Dated Equity Structures

Number of pages: 19 Posted: 16 Oct 2012
Messaoud Chibane and Dikman Law
ESSEC Business School and affiliation not provided to SSRN
Downloads 108 (192,338)

Abstract:

equity smile, stochastic interest rates, local volatility, Markovian projection, quadratic volatility

9.

Asset Pricing with Housing Booms and Disasters

Number of pages: 94 Posted: 02 Feb 2017
Messaoud Chibane, Abraham Lioui and Patrice Poncet
ESSEC Business School, EDHEC Business School and ESSEC Business School
Downloads 0 (305,742)

Abstract:

Housing CCAPM, Rare Disaster Events, Cumulant Generating Function, Power Law Distribution, Yield Curve