Areski Cousin

Available identifiers

zbMath Open cousin.areskiMaRDI QIDQ323573

List of research outcomes

Publication	Date of Publication	Type
Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach	2025-01-27	Paper
RATING TRANSITIONS FORECASTING: A FILTERING APPROACH	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	2021-11-05	Paper
On the consistency of Sobol indices with respect to stochastic ordering of model parameters	2019-07-11	Paper
Adaptive robust control under model uncertainty	2019-03-15	Paper
Asset allocation strategies in the presence of liability constraints	2016-12-13	Paper
Kriging of financial term-structures	2016-10-07	Paper
A bottom-up dynamic model of portfolio credit risk. I: Markov copula perspective	2015-06-19	Paper
A bottom-up dynamic model of portfolio credit risk. II: Common-shock interpretation, calibration and hedging issues	2015-06-19	Paper
On multivariate extensions of conditional-tail-expectation	2014-09-22	Paper
Dynamic hedging of portfolio credit risk in a Markov copula model	2014-06-30	Paper
A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries	2014-06-11	Paper
An extension of Davis and Lo's contagion model	2014-02-08	Paper
On multivariate extensions of value-at-risk	2014-01-10	Paper
Hedging default risks of CDOs in Markovian contagion models	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	2010-12-14	Paper
Comparison results for exchangeable credit risk portfolios	2008-06-25	Paper

Research outcomes over time

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