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 |
|---|---|---|
| On the risk management of demand deposits: quadratic hedging of interest rate margins Annals of Operations Research | 2022-07-05 | Paper |
| An overview of the valuation of collateralized derivative contracts Review of Derivatives Research | 2014-11-26 | Paper |
| Pricing CDOs with state-dependent stochastic recovery rates Quantitative Finance | 2014-01-24 | Paper |
| Hedging default risks of CDOs in Markovian contagion models Quantitative Finance | 2013-12-13 | 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 |
| Building a consistent pricing model from observed option prices | 2002-01-13 | Paper |
| Mean-variance hedging and numéraire Mathematical Finance | 2001-03-29 | Paper |
| Dynamic programming and mean-variance hedging Finance and Stochastics | 1999-09-14 | Paper |
Research outcomes over time
This page was built for person: Jean-Paul Laurent
