Areski Cousin

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach Applied Mathematical Finance	2025-01-27	Paper
RATING TRANSITIONS FORECASTING: A FILTERING APPROACH International Journal of Theoretical and Applied Finance	2023-09-08	Paper
Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach	2023-05-03	Paper
Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints SIAM Journal on Financial Mathematics	2021-11-05	Paper
On the consistency of Sobol indices with respect to stochastic ordering of model parameters ESAIM: Probability and Statistics	2019-07-11	Paper
Adaptive robust control under model uncertainty SIAM Journal on Control and Optimization	2019-03-15	Paper
Asset allocation strategies in the presence of liability constraints Insurance Mathematics & Economics	2016-12-13	Paper
Kriging of financial term-structures European Journal of Operational Research	2016-10-07	Paper
A bottom-up dynamic model of portfolio credit risk. I: Markov copula perspective Recent Advances in Financial Engineering 2012	2015-06-19	Paper
A bottom-up dynamic model of portfolio credit risk. II: Common-shock interpretation, calibration and hedging issues Recent Advances in Financial Engineering 2012	2015-06-19	Paper
On multivariate extensions of conditional-tail-expectation Insurance Mathematics & Economics	2014-09-22	Paper
Dynamic hedging of portfolio credit risk in a Markov copula model Journal of Optimization Theory and Applications	2014-06-30	Paper
A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries Communications in Statistics: Theory and Methods	2014-06-11	Paper
An extension of Davis and Lo's contagion model Quantitative Finance	2014-02-08	Paper
On multivariate extensions of value-at-risk Journal of Multivariate Analysis	2014-01-10	Paper
Hedging default risks of CDOs in Markovian contagion models Quantitative Finance	2013-12-13	Paper
Hedging portfolio loss derivatives with CDS's	2013-06-12	Paper
Valuation of portfolio loss derivatives in an infectious model	2012-05-30	Paper
Hedging CDO tranches in a Markovian environment Paris-Princeton Lectures on Mathematical Finance 2010	2010-12-14	Paper
Comparison results for exchangeable credit risk portfolios Insurance Mathematics & Economics	2008-06-25	Paper

Research outcomes over time

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