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Raphael Douady

Personal Details

First Name:Raphael
Middle Name:
Last Name:Douady
Suffix:
RePEc Short-ID:pdo453

Affiliation

SUNY Stony Brook University Applied Math and Statistics Dept

http://www.stonybrook.edu/commcms/ams2/
USA, NY, Stony Brook

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Raphaël Douady & Yao Kuang, 2022. "Crisis risk prediction with concavity from Polymodel," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512676, HAL.
  2. Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.
  3. Raphaël Douady & Zeyu Cao, 2020. "Sabr Type Stochastic Volatility Operator In Hilbert Space," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03018478, HAL.
  4. Ivan D Chase & Raphaël Douady & Dianna K Padilla, 2020. "A comparison of wealth inequality in humans and non-humans," Post-Print hal-03018472, HAL.
  5. Angela Armakola & Raphaël Douady & Jean-Paul Laurent & Francesco Molteni, 2020. "Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01479252, HAL.
  6. Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Post-Print hal-02488592, HAL.
  7. Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Post-Print hal-02488589, HAL.
  8. Angela Armakola & Raphaël Douady & Jean-Paul Laurent, 2019. "Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses," Post-Print hal-03265036, HAL.
  9. Raphaël Douady & Clément Goulet & Pierre-Charles Pradier, 2017. "Financial Regulation in the EU: From Resilience to Growth," Post-Print hal-03265024, HAL.
  10. Raphaël Douady & Shohruh Miryusupov, 2017. "Hamiltonian Flow Simulation of Rare Events," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01581894, HAL.
  11. Raphaël Douady & Shohruh Miryusupov, 2017. "Optimal Transport Filtering with Particle Reweighing in Finance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01581903, HAL.
  12. Raphaël Douady, 2015. "Capital Adequacy, Pro-cyclicality and Systemic Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01478320, HAL.
  13. Antoine Kornprobst & Raphaël Douady, 2015. "A Pratical Approach to Financial Crisis Indicators Based on Random Matrices," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169307, HAL.
  14. Antoine Kornprobst & Raphael Douady, 2015. "An Empirical Approach to Financial Crisis Indicators Based on Random Matrices," Papers 1506.00806, arXiv.org, revised Sep 2017.
  15. Hafiz Hoque & Dimitris Andriosopoulos & Kostas Andriosopoulos & Raphaël Douady, 2015. "Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01161670, HAL.
  16. Nassim Nicholas Taleb & Raphaël Douady, 2014. "On the Super-Additivity and Estimation Biases of Quantile Contributions," Documents de travail du Centre d'Economie de la Sorbonne 14090, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  17. Raphaël Douady, 2014. "Modèles mathématiques et crise financière," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01479099, HAL.
  18. Olivier Le Marois & Julia Mikhalevski & Raphaël Douady, 2014. "Extreme Risk, excess return and leverage: the LP formula," Documents de travail du Centre d'Economie de la Sorbonne 14094, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  19. Raphaël Douady, 2014. "A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01478302, HAL.
  20. Stéphane Crépey & Raphaël Douady, 2014. "The Whys of the LOIS: Credit Skew and Funding Spread Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151315, HAL.
  21. Nassim Nicholas Taleb & Raphaël Douady, 2014. "Mathematical Definition, Mapping, and Detection of (Anti)Fragility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01151340, HAL.
  22. Nassim Nicholas Taleb & Rupert Read & Raphael Douady & Joseph Norman & Yaneer Bar-Yam, 2014. "The Precautionary Principle (with Application to the Genetic Modification of Organisms)," Papers 1410.5787, arXiv.org.
  23. Raphaël Douady, 2014. "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Documents de travail du Centre d'Economie de la Sorbonne 14091, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  24. Stéphane Crépey & Raphaël Douady, 2013. "Lois: credit and liquidity," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477998, HAL.
  25. Youngna Choi & Raphaël Douady, 2013. "Financial Crisis and Contagion: A Dynamical Systems Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666752, HAL.
  26. Stéphane Crépey & Raphaël Douady, 2013. "The Whys of the LOIS: Credit Skew and Funding Rates Volatility," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477891, HAL.
  27. Youngna Choi & Raphaël Douady, 2012. "Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666245, HAL.
  28. Cyril Coste & Raphaël Douady & Ilija I. Zovko, 2011. "The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666234, HAL.
  29. Cyril Coste & Raphael Douady & Ilija I. Zovko, 2009. "The StressVaR: A New Risk Concept for Superior Fund Allocation," Papers 0911.4030, arXiv.org.
  30. Claude Bardos & Raphaël Douady & Andrei Fursikov, 2002. "Static Hedging Of Barrier Options With A Smile: An Inverse Problem," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477102, HAL.
  31. Raphaël Douady & A.N. Shiryaev & Marc Yor, 2000. "On Probability Characteristics of "Downfalls" in a Standard Brownian Motion," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01477104, HAL.

Articles

  1. Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
  2. Yao Kuang & Raphael Douady, 2022. "Has the Market Started to Collapse or Will It Resist?," Stats, MDPI, vol. 5(2), pages 1-7, April.
  3. Chase, Ivan D. & Douady, Raphael & Padilla, Dianna K., 2020. "A comparison of wealth inequality in humans and non-humans," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
  4. Raphael Douady & Antoine Kornprobst, 2018. "An Empirical Approach To Financial Crisis Indicators Based On Random Matrices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-22, May.
  5. Xingxing Ye & Raphael Douady, 2018. "Systemic Risk Indicators Based on Nonlinear PolyModel," JRFM, MDPI, vol. 12(1), pages 1-24, December.
  6. Le Theule François-Gilles & Douady Raphael & de Boissieu Christian, 2017. "Introduction," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 7(2), pages 13-15, July.
  7. Taleb, Nassim Nicholas & Douady, Raphael, 2015. "On the super-additivity and estimation biases of quantile contributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 252-260.
  8. Hoque, Hafiz & Andriosopoulos, Dimitris & Andriosopoulos, Kostas & Douady, Raphael, 2015. "Bank regulation, risk and return: Evidence from the credit and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 455-474.
  9. N. N. Taleb & R. Douady, 2013. "Mathematical definition, mapping, and detection of (anti)fragility," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1677-1689, November.
  10. Youngna Choi & Raphael Douady, 2012. "Financial crisis dynamics: attempt to define a market instability indicator," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1351-1365, August.
  11. Alexander Cherny & Raphael Douady & Stanislav Molchanov, 2010. "On measuring nonlinear risk with scarce observations," Finance and Stochastics, Springer, vol. 14(3), pages 375-395, September.
  12. Raphaël Douady, 1999. "Closed Form Formulas For Exotic Options And Their Lifetime Distribution," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 17-42.

Chapters

  1. Angela Armakolla & Raphael Douady & Jean-Paul Laurent, 2019. "Repurchase Agreements and the European Sovereign Debt Crises: The Role of European Clearinghouses," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, chapter 18, pages 467-492, World Scientific Publishing Co. Pte. Ltd..
  2. Raphael Douady, 2015. "Capital Adequacy, Pro-cyclicality and Systemic Risk," International Series in Operations Research & Management Science, in: Alain Bensoussan & Dominique Guegan & Charles S. Tapiero (ed.), Future Perspectives in Risk Models and Finance, edition 127, pages 137-148, Springer.
  3. Raphaël Douady, 2002. "Bermudan Option Pricing With Monte-Carlo Methods," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume III), chapter 14, pages 314-328, World Scientific Publishing Co. Pte. Ltd..
  4. Raphael Douady, 1999. "Closed Form Formulas For Exotic Options And Their Lifetime Distribution," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 6, pages 177-202, World Scientific Publishing Co. Pte. Ltd..

Books

  1. Raphaël Douady & Clément Goulet & Pierre-Charles Pradier (ed.), 2017. "Financial Regulation in the EU," Springer Books, Springer, number 978-3-319-44287-7, March.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 24 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (19) 2009-11-27 2012-08-23 2015-02-05 2015-02-11 2015-06-05 2015-06-05 2015-06-05 2015-06-20 2016-10-16 2016-10-16 2020-03-30 2020-03-30 2020-04-06 2020-04-06 2020-07-27 2020-12-21 2020-12-21 2021-01-11 2021-01-11. Author is listed
  2. NEP-ECM: Econometrics (4) 2014-05-09 2015-06-05 2015-07-11 2020-07-27
  3. NEP-ORE: Operations Research (4) 2015-06-20 2020-07-27 2020-12-21 2021-01-11
  4. NEP-CMP: Computational Economics (2) 2015-06-20 2018-08-20
  5. NEP-BAN: Banking (1) 2020-12-21
  6. NEP-ETS: Econometric Time Series (1) 2020-12-21
  7. NEP-EVO: Evolutionary Economics (1) 2020-12-21
  8. NEP-FMK: Financial Markets (1) 2015-06-05
  9. NEP-HME: Heterodox Microeconomics (1) 2021-01-25
  10. NEP-MST: Market Microstructure (1) 2015-06-05
  11. NEP-NET: Network Economics (1) 2020-03-30

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