J. Laurent

发表

Basket Default Swaps, Cdos and Factor Copulas

J. Gregory, J. Laurent, 2005 .

Mean‐Variance Hedging and Numéraire

H. Pham, C. Gouriéroux, J. Laurent, 1998 .

Dynamic Hedging of Synthetic CDO Tranches: Bridging the Gap between Theory and Practice

J. Laurent, A. Cousin, Areski Cousin, 2012 .

Building a Consistent Pricing Model from Observed Option Prices

Jean-Paul Laurent, Dietmar Leisen, Dietmar P. J. Leisen, 1998 .

Sensitivity Analysis of Values at Risk

Olivier Scaillet, Jean-Paul Laurent, Christian Gourieroux, 2000 .

Pricing CDOs with State Dependent Stochastic Recovery Rates

Sebastien G Hitier, J. Laurent, Salah Amraoui, 2009 .

Spectral risk measures and portfolio selection 1

J. Laurent, M. Houkari, 2007 .

Hedging Interest Rate Margins on Demand Deposits

J. Laurent, M. Houkari, A. Adam, 2009 .

An overview of factor models for pricing CDO tranches

J. Laurent, A. Cousin, Areski Cousin, 2008 .

On the risk management of demand deposits: quadratic hedging of interest rate margins

J. Laurent, J. Prigent, M. Houkari, 2020, Ann. Oper. Res..

Market Risk and Volatility Weighted Historical Simulation after Basel III

J. Laurent, Hassan Omidi Firouzi, 2017 .

19th biennial IPEG Meeting

Asbjørn Mohr Drewes, Vitoantonio Bevilacqua, Roshan Cools, 2016 .

Model risk in the pricing of weather derivatives

L. Carraro, J. Laurent, O. Roustant, 2004 .

Alternative risk measures for alternative investments

Yannick Malevergne, J. Laurent, A. Chabaane, 2006 .

Sovereign Recovery Schemes: Discounting and Risk Management Issues

J. Laurent, Jean-Luc Vila, Laurent Carlier, 2012 .

On the risk management of demand deposits: quadratic hedging of interest rate margins

J. Laurent, J. Prigent, M. Houkari, 2020, Annals of Operations Research.

An overview of the valuation of collateralized derivative contracts

J. Laurent, Joe Bonnaud, Philippe Amzelek, 2014, Review of Derivatives Research.

A Bootstrap approach to the price uncertainty of weather derivatives

L. Carraro, J. Laurent, O. Roustant, 2003 .

Approximating payoffs and pricing formulas

J. Laurent, S. Darolles, 2000 .

Spectral Risk Measures and Portfolio Selectio

Jean-Paul Laurent, Alexandre Adam, Mohamed Houkari, 2007 .

Spectral Risk Measures and Portfolio Selection. Spectral Risk Measures and Portfolio Selection

J. Laurent, M. Houkari, A. Adam, 2007 .

Sensitivity Analysis of Risk Measures for Discrete Distributions

J. Laurent, 2003 .

Trading Book and Credit Risk: How Fundamental is the Basel Review?

Jean-Paul Laurent, Stéphane Thomas-Simonpoli, J. Laurent, 2016 .

The Knowns and the Known Unknowns of Capital Requirements for Market Risks

Jean-Paul Laurent, J. Laurent, 2017 .

Ja n 20 01 Multi-dimensional Rational Bubbles and fat tails ∗

Yannick Malevergne, D. Sornette, J. Laurent, 2022 .

An overview of the valuation of collateralized derivative contracts

Jean-Paul Laurent, J. Laurent, Philippe Amzelek, 2014 .

Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses

J. Laurent, R. Douady, F. Molteni, 2017 .

Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses

J. Laurent, R. Douady, F. Molteni, 2017, Handbook of Global Financial Markets.

Modelling in Life Insurance – A Management Perspective

J. Laurent, F. Planchet, R. Norberg, 2016 .

MULTIMODAL IMPLIED RISK-NEUTRAL DENSITIES

J. Laurent, A. Frachot, O. Pichot, 1999 .

Hedging CDO Tranches in a Markovian Environment

Jean-Paul Laurent, Areski Cousin, Monique Jeanblanc, 2011 .

CCP Resilience and Clearing Membership

J. Laurent, Angela Armakolla, 2017 .

DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES SHOCK ON VARIABLE OR SHOCK ON DISTRIBUTION WITH APPLICATION TO STRESS-TESTS

Christian Gourieroux, M. Schweizer, C. Gouriéroux, 2012 .

Double impact: Credit risk assessment and collateral value

J. Salomon, J. Laurent, A. Chabaane, 2004 .

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

Jean-Paul Laurent, J. Laurent, Jonathan Gregory, 2009, The Journal of Derivatives.

CCP resilience and clearing membership , III DRAFT April 22 , 2015

J. Laurent, Angela Armakola, 2015 .

Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint

Yoshua Bengio, R. Gencay, René Garcia, 2000 .

Pricing CDOs with state-dependent stochastic recovery rates

Sebastien G Hitier, J. Laurent, Salah Amraoui, 2012 .

Série Scientifique Scientific Series Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint

Yoshua Bengio, R. Gencay, René Garcia, 2022 .

Variance Optimal Cap Pricing Models

J. Laurent, O. Scaillet, 1999 .

In the Core of Correlation

Jon Gregory, Jean-Paul Laurent, J. Gregory, 2004 .

Approximating payo ! s and pricing formulas q

J. Laurent, S. Darolles, 2022 .

An Overview of Factor Modeling for CDO Pricing

J. Laurent, Areski Cousin, 2012 .

Credit Risk Models

Jean-Paul Laurent, J. Laurent, 2008 .

Comparison Results for Exchangeable Credit Risk Portfolios

J. Laurent, Areski Cousin, 2008 .

Comparison results for credit risk portfolios

J. Laurent, Areski Cousin, 2007 .

Dynamic programming and mean-variance hedging

Huyên Pham, Jean Paul Laurent, H. Pham, 1999, Finance Stochastics.

A bootstrap approach to the pricing of weather derivatives

L. Carraro, J. Laurent, O. Roustant, 2003 .

Estimation Risk and the Pricing of Weather Derivatives

L. Carraro, J. Laurent, O. Roustant, 2001 .