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of 10
pro vyhledávání: '"Laachir, Ismail"'
In this work, inspired by the Archer-Mouy-Selmi approach, we present two methodologies for scoring the stress test scenarios used by CCPs for sizing their Default Funds. These methodologies can be used by risk managers to compare different sets of sc
Externí odkaz:
http://arxiv.org/abs/2007.02567
We describe a robust calibration algorithm of a set of SSVI slices (i.e. a set of 3 SSVI parameters $\theta, \rho, \varphi$ attached to each option maturity available on the market), which grants that these slices are free of Butterfly and Calendar-S
Externí odkaz:
http://arxiv.org/abs/1804.04924
Autor:
Laachir, Ismail
L’objectif central de la thèse est d’étudier diverses mesures du risque de modèle, exprimées en terme monétaire, qui puissent être appliquées de façon cohérente à une collection hétérogène de produits financiers. Les deux premiers ch
Externí odkaz:
http://www.theses.fr/2015LORIS375/document
Autor:
Laachir, Ismail, Russo, Francesco
The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{\`a}dl{\`a}g martingales. When the martingale is a standard Brownian motion, the natur
Externí odkaz:
http://arxiv.org/abs/1411.6368
In this paper we apply change of numeraire techniques to the optimal transport approach for computing model-free prices of derivatives in a two periods model. In particular, we consider the optimal transport plan constructed in \cite{HobsonKlimmek201
Externí odkaz:
http://arxiv.org/abs/1406.6951
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifie
Externí odkaz:
http://arxiv.org/abs/1312.3789
Autor:
Hénaff, Patrick1 pa.henaff@gmail.com, Laachir, Ismail2 ilaachir@zeliade.com, Russo, Francesco3 francesco.russo@ensta-paristech.fr
Publikováno v:
International Journal of Financial Studies. Mar2018, Vol. 6 Issue 1, p27. 27p.
Autor:
Campi, Luciano1 l.campi@lse.ac.uk, Laachir, Ismail2 ilaachir@zeliade.com, Martini, Claude2 cmartini@zeliade.com
Publikováno v:
Finance & Stochastics. Apr2017, Vol. 21 Issue 2, p471-486. 16p.
Autor:
Laachir, Ismail, Russo, Francesco
The aim of this paper is to introduce a new formalism for the deterministic analysis associated with backward stochastic differential equations driven by general c{\`a}dl{\`a}g martingales. When the martingale is a standard Brownian motion, the natur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=arXiv_dedup_::29883d6939e8fcfdf41698fd0e287a14
https://hal.inria.fr/hal-01086227v2/document
https://hal.inria.fr/hal-01086227v2/document
Publikováno v:
Decisions in Economics & Finance; Dec2019, Vol. 42 Issue 2, p665-677, 13p