Jean-Paul Laurent
Jean-Paul Laurent
Verified email at univ-paris1.fr - Homepage
Title
Cited by
Cited by
Year
Basket default swaps, CDOs and factor copulas
JP Laurent, J Gregory
Journal of Risk 7 (4), 103-122, 2005
5002005
Sensitivity Analysis of Values at Risk
C Gouriéroux, JP Laurent, O Scaillet
Journal of Empirical Finance 7 (3-4), 225-245, 2000
4862000
A comparative analysis of CDO pricing models
X Burtschell, J Gregory, JP Laurent
The Journal of Derivatives 16 (4), 9-37, 2009
329*2009
Mean‐Variance Hedging and Numéraire
C Gourieroux, JP Laurent, H Pham
Mathematical finance 8 (3), 179-200, 1998
2521998
Dynamic programming and mean-variance hedging
JP Laurent, H Pham
Finance and stochastics 3 (1), 83-110, 1999
2011999
Building models for credit spreads
A Arvanitis, J Gregory, JP Laurent
The Journal of Derivatives 6 (3), 27-43, 1999
1541999
Spectral risk measures and portfolio selection
A Adam, M Houkari, JP Laurent
Journal of Banking & Finance 32 (9), 1870-1882, 2008
1472008
Beyond the Gaussian copula: stochastic and local correlation
JPL J Gregory, X Burtschell
Journal of Credit Risk 3 (1), 31-62, 2007
127*2007
I will survive
J Gregory, JP Laurent
RISK-LONDON-RISK MAGAZINE LIMITED- 16 (6), 103-108, 2003
1072003
In the core of correlation
J Gregory, JP Laurent
RISK-LONDON-RISK MAGAZINE LIMITED- 17, 87-91, 2004
1012004
Hedging default risks of CDOs in Markovian contagion models
JP Laurent, A Cousin, JD Fermanian
Quantitative Finance 11 (12), 1773-1791, 2011
872011
Model risk in the pricing of weather derivatives
O Roustant, JP Laurent, X Bay, L Carraro
Bankers, Markets & Investors 72, 2004
402004
Building a consistent pricing model from observed option prices
JP Laurent, DPJ Leisen
Collected papers of the New York University Mathematical Finance Seminar” 2 …, 2001
402001
Comparison results for exchangeable credit risk portfolios
A Cousin, JP Laurent
Insurance: Mathematics and Economics 42 (3), 1118-1127, 2008
34*2008
An overview of factor models for pricing CDO tranches
A Cousin, JP Laurent
Frontiers In Quantitative Finance, Ed. R. Cont, Wiley Finance, 2008
33*2008
Hedging CDO tranches in a markovian environment
A Cousin, M Jeanblanc, JP Laurent
Paris-Princeton Lectures on Mathematical Finance 2010, 1-61, 2011
282011
Double impact: credit risk assessment and collateral value
A Chabaane, JP Laurent, J Salomon
Revue Finance 25, 157-178, 2004
272004
Trading book and credit risk: How fundamental is the Basel review?
JP Laurent, M Sestier, S Thomas
Journal of Banking & Finance 73, 211-223, 2016
252016
CCP resilience and clearing membership
A Armakolla, JP Laurent
working paper. Available at http://papers. ssrn. com/sol3/papers. cfm, 2015
212015
Alternative risk measures for alternative investments
A Chabaane, JP Laurent, Y Malevergne, F Turpin
Journal of Risk 8 (4), 1-32, 2006
192006
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