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. Part I: Markov Copula Perspective	2015-06-19	Paper
A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part 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
https://portal.mardi4nfdi.de/entity/Q4925746	2013-06-12	Paper
https://portal.mardi4nfdi.de/entity/Q2888095	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

This page was built for person: Areski Cousin