Jean-Paul Laurent

Available identifiers

Publication	Date of Publication	Type
On the risk management of demand deposits: quadratic hedging of interest rate margins	2022-07-05	Paper
An overview of the valuation of collateralized derivative contracts	2014-11-26	Paper
Pricing CDOs with state-dependent stochastic recovery rates	2014-01-24	Paper
Hedging default risks of CDOs in Markovian contagion models	2013-12-13	Paper
Hedging CDO tranches in a Markovian environment	2010-12-14	Paper
Comparison results for exchangeable credit risk portfolios	2008-06-25	Paper
Building a consistent pricing model from observed option prices	2002-01-13	Paper
Mean-variance hedging and numéraire	2001-03-29	Paper
Dynamic programming and mean-variance hedging	1999-09-14	Paper

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