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Nonparametric model calibration for derivatives

Author

Listed:
  • Frédéric Abergel

    (FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec)

  • Rémy Tachet Des Combes

    (FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec)

  • Riadh Zaatour

    (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec)

Abstract

No abstract is available for this item.

Suggested Citation

  • Frédéric Abergel & Rémy Tachet Des Combes & Riadh Zaatour, 2017. "Nonparametric model calibration for derivatives," Post-Print hal-01399542, HAL.
    • Handle: RePEc:hal:journl:hal-01399542
    DOI: 10.4236/jmf.2017.73030
    Note: View the original document on HAL open archive server: https://hal.science/hal-01399542v2
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    References listed on IDEAS

    as
    1. Benjamin Jourdain & Mohamed Sbai, 2012. "Coupling index and stocks," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 805-818, March.
    2. Damiano Brigo & Aurélien Alfonsi, 2005. "Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model," Finance and Stochastics, Springer, vol. 9(1), pages 29-42, January.
    3. Frédéric Abergel & Rémi Tachet, 2010. "A nonlinear partial integro-differential equation from mathematical finance," Post-Print hal-00611962, HAL.
    Full references (including those not matched with items on IDEAS)

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